A3) use Microsoft excel A 4 year Treasury Bond with a face value of $1,000 and an annual couponrate of 5.80% has a yield to maturity of 4.29%. This bond makes(semi-annual) coupon payments per year and thus has 8 periods until maturity.What is the price sensitivity of a bond to changes in yield and how does thatcompare to the duration approximation, and compare to the duration plusconvexity approximation?Y

s a yield to maturity of 4.29%. This bond makes Dayments per year and thus has 8 periods until sensitivity of a bond to changes in yield and how Huration approximation, and compare to the duran imation?

s a yield to maturity of 4.29%. This bond makes Dayments per year and thus has 8 periods until sensitivity of a bond to changes in yield and how Huration approximation, and compare to the duran imation?

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter8: Analysis Of Risk And Return

Section: Chapter Questions

Problem 10P

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Question

A3) use Microsoft excel

A 4 year Treasury Bond with a face value of $1,000 and an annual coupon
rate of 5.80% has a yield to maturity of 4.29%. This bond makes
(semi-
annual) coupon payments per year and thus has 8 periods until maturity.
What is the price sensitivity of a bond to changes in yield and how does that
compare to the duration approximation, and compare to the duration plus
convexity approximation?
Y

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