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Calculate the bond effective duration

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Reference no: EM133109879

1) The value of a bond is $908. If yield increase or decreases by 50bps, the value became 866.80 and 952.30, respectively. Calculate the bond's effective duration and effective convexity.

Effective Duration=

Effective Convexity=

2) A 3-year bond offers a 10% courpon rate with interest paid annualy. Assume the consequence of forward rates for the 1, 2, and 3 periods are 8%, 9% and 9.5%, respectively. What is the bond price?

3) Using the following spot rates for pricing the bond, what is the present value of the cash flows of a 3-year security that pays a fixed annual coupon of 6 percent? What is the bond price?

Year 1: 6.0%

Year 2: 5.5%

Year 3: 5.0%

Present Value of Cash Flow (3) =

Present Value of Cash Flow (2) =

Present Value of Cash Flow (1)=

Bond Price =

Reference no: EM133109879

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