Calculate exact bond price using the full discount formula

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Question: A bond is maturing in 10.5 years and has a semiannually paid coupon of 4.3% per year and price 93-15+.

a] Calculate its Yield to Maturity. Show your calculation or explain how you calculated the yield.

b) Suppose your market value of this bond is 8 Million. What is Modi?ed Duration, Macaulay Duration, Convexity and DV01 of this portfolio?

c) Using Modi?ed Duration and Convexity formula approximation calculate bond price if the Yield to Maturity increased 20 Basis Points. (1) Calculate the exact Bond price using the full discount formula. Compare to previous result in part C.

Reference no: EM133368692

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