Assume the following characteristics of à bónd: Seling at 96.000, 2.3% coupon, annual pay, 12 years until maturity. Use the short-cut methods to determine the Approximate Modified duration and Approximate Convexity Measure of the bond (I suggest using 10 bps as the annual change in yield). Now, under the assumption that yields will increase by 60 bps, what do you expect to be the new price of the bond?
Assume the following characteristics of à bónd: Seling at 96.000, 2.3% coupon, annual pay, 12 years until maturity. Use the short-cut methods to determine the Approximate Modified duration and Approximate Convexity Measure of the bond (I suggest using 10 bps as the annual change in yield). Now, under the assumption that yields will increase by 60 bps, what do you expect to be the new price of the bond?
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 8P
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- Increasing i increases present value
- Increasing i increases future value
- More frequent compounding increases future value
- More frequent discounting increases present value
- n is always expressed in years
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