PRIN.OF CORPORATE FINANCE >BI<
12th Edition
ISBN: 9781260431230
Author: BREALEY
Publisher: MCG CUSTOM
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Textbook Question
Chapter 3, Problem 3SQ
(DURATION) What was the duration of the Treasury 8.5s? How would duration change if the yield rose to 4%? Can you explain why?
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Given the Treasury rates shown below, what is the expected 2 year Treasury rate one year from today?
Term
Yield
1 year
1%
2 year
6%
3 year
9%
answer format: show your answer to one decimal places. If your answer is, for example, 3.252%, then input 3.3 without the percent sign.
A3)
Finance
Use the data in the following table to calculate
a. The effective duration when rates increase from 4% to 4.2%
b. The effective duration when rates decrease from 4% to 3.5%
4% Coupon 10-year T-note
Yield to Maturity Price
4.50% 97.78
4.20% 99.11
4.00% 100.00
3.80% 100.90
3.50% 102.28
Assuming you have an inflation linker that pays an annual coupon of 2.5% every half a year and the real yield is 3%. What will be the price of the if it matures after 3.5 if you assume that the total inflation during this period was 5.5% ? Assume the principal is 100.
Hint: Find the price without the inflation and then apply the adjustment as we did in class
103.76
98.35
102.76
104.2
Chapter 3 Solutions
PRIN.OF CORPORATE FINANCE >BI<
Ch. 3 - (PRICE) In February 2009, Treasury 8.5s of 2020...Ch. 3 - (YLD) On the same day, Treasury 3.5s of 2018 were...Ch. 3 - (DURATION) What was the duration of the Treasury...Ch. 3 - (MDURATION) What was the modified duration of the...Ch. 3 - Prob. 1PSCh. 3 - Bond prices and yields The following statements...Ch. 3 - Prob. 3PSCh. 3 - Bond prices and yields A 10-year German government...Ch. 3 - Bond prices and yields Construct some simple...Ch. 3 - Spot interest rates and yields Which comes first...
Ch. 3 - Prob. 7PSCh. 3 - Spot interest rates and yields Assume annual...Ch. 3 - Prob. 9PSCh. 3 - Prob. 10PSCh. 3 - Duration True or false? Explain. a....Ch. 3 - Duration Calculate the durations and volatilities...Ch. 3 - Term-structure theories The one-year spot interest...Ch. 3 - Real interest rates The two-year interest rate is...Ch. 3 - Duration Here are the prices of three bonds with...Ch. 3 - Prob. 16PSCh. 3 - Prob. 17PSCh. 3 - Spot interest rates and yields A 6% six-year bond...Ch. 3 - Spot interest rates and yields Is the yield on...Ch. 3 - Prob. 20PSCh. 3 - Prob. 21PSCh. 3 - Duration Find the spreadsheet for Table 3.4 in...Ch. 3 - Prob. 23PSCh. 3 - Prob. 25PSCh. 3 - Prob. 26PSCh. 3 - Prob. 27PSCh. 3 - Prob. 28PSCh. 3 - Prob. 29PSCh. 3 - Prices and yields If a bonds yield to maturity...Ch. 3 - Prob. 31PSCh. 3 - Price and spot interest rates Find the arbitrage...Ch. 3 - Prob. 33PSCh. 3 - Prices and spot interest rates What spot interest...Ch. 3 - Prices and spot interest rates Look one more time...
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