Years to maturity: Bond A= 5 years Bond B =10 years Coupon rate: Bond A =5% Bond B =5% Par value: Bond A =1000 Bond B =1000 Yield to maturity: Bond A =8% Bond B = 6% Par amount owned: Bond A = R3,45 million Bond B= R2 million Market value: Bond A = R30367.59(in 100's) Bond B = R18528 ( in 100's) Required: Without doing any calculations,which Bond would have a higher duration Assuming that Bond A is an option free Bond, calculate the bond's modified duration using the Macauly's duration Assume that the duration of Bond A and B is 4.2 and 7.5 respectively, determine the duration of the portfolio
Years to maturity: Bond A= 5 years Bond B =10 years Coupon rate: Bond A =5% Bond B =5% Par value: Bond A =1000 Bond B =1000 Yield to maturity: Bond A =8% Bond B = 6% Par amount owned: Bond A = R3,45 million Bond B= R2 million Market value: Bond A = R30367.59(in 100's) Bond B = R18528 ( in 100's) Required: Without doing any calculations,which Bond would have a higher duration Assuming that Bond A is an option free Bond, calculate the bond's modified duration using the Macauly's duration Assume that the duration of Bond A and B is 4.2 and 7.5 respectively, determine the duration of the portfolio
Intermediate Financial Management (MindTap Course List)
13th Edition
ISBN:9781337395083
Author:Eugene F. Brigham, Phillip R. Daves
Publisher:Eugene F. Brigham, Phillip R. Daves
Chapter4: Bond Valuation
Section: Chapter Questions
Problem 9P: Bond Valuation and Interest Rate Risk The Garraty Company has two bond issues outstanding. Both...
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Years to maturity: Bond A= 5 years Bond B =10 years
Coupon rate: Bond A =5% Bond B =5%
Par
Yield to maturity: Bond A =8% Bond B = 6%
Par amount owned: Bond A = R3,45 million Bond B= R2 million
Market value: Bond A = R30367.59(in 100's) Bond B = R18528 ( in 100's)
Required:
Without doing any calculations,which Bond would have a higher duration
Assuming that Bond A is an option free Bond, calculate the bond's modified duration using the Macauly's duration
Assume that the duration of Bond A and B is 4.2 and 7.5 respectively, determine the duration of the portfolio
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