Table 3.6 Yield Curve on May 15, 2000 2/2 ield Maturity Yield Maturity Yield 0.25 6.33% 2.75 6.86% 5.25 6.39% 0.50 6.49% 3.00 6.83% 5.50 6.31% 0.75 6.62% 3.25 6.80% 5.75 6.24% 1.00 6.71% 3.50 6.76% 6.00 6.15% 1.25 6.79% 3.75 6.72% 6.25 6.05% 1.50 6.84% 4.00 6.67% 6.50 5.94% 1.75 6.87% 4.25 6.62% 6.75 5.81% 2.00 6.88% 4.50 6.57% 7.00 5.67% 2.25 6.89% 4.75 6.51% 7.25 5.50% 2.50 6.88% 5.00 6.45% 7.50 5.31% Notes: Yields are calculated based on data from CRSP (Daily Treasuries). 3. (40 points) Today is May 15, 2000, and the current, semi-annually compounded yield curve is in Table 3.6. Compute the duration for the following securities: (a) 3-year zero coupon bond; (b) 3 1/4-year coupon bond paying 6% semiannually; (c) 1-year coupon bond paying 4% quarterly; (d) 6-year floating rate bond with a zero spread, paying semiannually; (e) 3-year floating rate bond with a 35 basis point spread, paid semiannually; (f) 4 1/4 year floating rate bond with 50 basis point spread, paid semiannually 4. (20 points) Compute the Macaulay and modified duration for the same securities as in Problem 3.
Table 3.6 Yield Curve on May 15, 2000 2/2 ield Maturity Yield Maturity Yield 0.25 6.33% 2.75 6.86% 5.25 6.39% 0.50 6.49% 3.00 6.83% 5.50 6.31% 0.75 6.62% 3.25 6.80% 5.75 6.24% 1.00 6.71% 3.50 6.76% 6.00 6.15% 1.25 6.79% 3.75 6.72% 6.25 6.05% 1.50 6.84% 4.00 6.67% 6.50 5.94% 1.75 6.87% 4.25 6.62% 6.75 5.81% 2.00 6.88% 4.50 6.57% 7.00 5.67% 2.25 6.89% 4.75 6.51% 7.25 5.50% 2.50 6.88% 5.00 6.45% 7.50 5.31% Notes: Yields are calculated based on data from CRSP (Daily Treasuries). 3. (40 points) Today is May 15, 2000, and the current, semi-annually compounded yield curve is in Table 3.6. Compute the duration for the following securities: (a) 3-year zero coupon bond; (b) 3 1/4-year coupon bond paying 6% semiannually; (c) 1-year coupon bond paying 4% quarterly; (d) 6-year floating rate bond with a zero spread, paying semiannually; (e) 3-year floating rate bond with a 35 basis point spread, paid semiannually; (f) 4 1/4 year floating rate bond with 50 basis point spread, paid semiannually 4. (20 points) Compute the Macaulay and modified duration for the same securities as in Problem 3.
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Question
Transcribed Image Text:Table 3.6 Yield Curve on May 15, 2000
2/2
ield
Maturity
Yield
Maturity
Yield
0.25
6.33%
2.75
6.86%
5.25
6.39%
0.50
6.49%
3.00
6.83%
5.50
6.31%
0.75
6.62%
3.25
6.80%
5.75
6.24%
1.00
6.71%
3.50
6.76%
6.00
6.15%
1.25
6.79%
3.75
6.72%
6.25
6.05%
1.50
6.84%
4.00
6.67%
6.50
5.94%
1.75
6.87%
4.25
6.62%
6.75
5.81%
2.00
6.88%
4.50
6.57%
7.00
5.67%
2.25
6.89%
4.75
6.51%
7.25
5.50%
2.50
6.88%
5.00
6.45%
7.50
5.31%
Notes: Yields are calculated based on data from CRSP (Daily Treasuries).
3. (40 points) Today is May 15, 2000, and the current, semi-annually
compounded yield curve is in Table 3.6. Compute the duration for the
following securities:
(a) 3-year zero coupon bond;
(b) 3 1/4-year coupon bond paying 6% semiannually;
(c) 1-year coupon bond paying 4% quarterly;
(d) 6-year floating rate bond with a zero spread, paying semiannually;
(e) 3-year floating rate bond with a 35 basis point spread, paid
semiannually;
(f) 4 1/4 year floating rate bond with 50 basis point spread, paid
semiannually
4. (20 points) Compute the Macaulay and modified duration for the same
securities as in Problem 3.
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