(3) Use a 1 bps shock to compute duration and convexity (using approximating measures for durationand convexity, respectively) for the following bond as of the origination date.Origination DateMaturity Date12/31/202112/31/2023$100Par ValueAnnual Coupon Rate2.00%Рayment frequenсyQuarterlyAssume the applicable zero rates for this bond are the following on 12/31/2021DateZero rate12/31/20213/31/20220.18%6/30/20229/30/20220.42%0.64%12/31/20220.84%3/31/20236/30/20239/30/202312/31/20231.06%1.24%1.35%1.42%

Bond Duration and convexity: Bond duration is the time-weighted average of all the cash flow…

(3) Use a 1 bps shock to compute duration and convexity (using approximating measures for duration and convexity, respectively) for the following bond as of the origination date. Origination Date Maturity Date Par Value Annual Coupon Rate Payment frequency 12/31/2021 12/31/2023 $100 2.00% Quarterly Assume the applicable zero rates for this bond are the following on 12/31/2021 Date Zero rate 12/31/2021 3/31/2022 0.18% 6/30/2022 0.42% 9/30/2022 0.64% 12/31/2022 0.84% 3/31/2023 1.06% 6/30/2023 1.24% 9/30/2023 1.35% 12/31/2023 1.42%

(3) Use a 1 bps shock to compute duration and convexity (using approximating measures for duration and convexity, respectively) for the following bond as of the origination date. Origination Date Maturity Date Par Value Annual Coupon Rate Payment frequency 12/31/2021 12/31/2023 $100 2.00% Quarterly Assume the applicable zero rates for this bond are the following on 12/31/2021 Date Zero rate 12/31/2021 3/31/2022 0.18% 6/30/2022 0.42% 9/30/2022 0.64% 12/31/2022 0.84% 3/31/2023 1.06% 6/30/2023 1.24% 9/30/2023 1.35% 12/31/2023 1.42%

Excel Applications for Accounting Principles

4th Edition

ISBN:9781111581565

Author:Gaylord N. Smith

Publisher:Gaylord N. Smith

Chapter11: Bond Pricing And Amortization (bonds)

Section: Chapter Questions

Problem 3R

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