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Calculate the bond yield to maturity

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1. A bond is maturing in 30 years and has a coupon of 3.8% (per year). Coupon is paid semiannually: for each $100 of notional $3.8/2 is paid every 6 month. Suppose the price of this bond is 58-23.

a) Calculate the bond's yield to maturity.

b) Suppose you have a position in that bond that has a market value 10 million. How many 100$ notional pieces with each piece has market value 58-23 are in this portfolio? What is the modi?ed duration, Macaulay duration, convexity and DV01 of that portfolio?

c) Suppose you have 10 million of notional of that bond. How many 100$ notional pieces with each piece has market value 58-23 are in this portfolio? What is the market value of that portfolio. What is the modi?ed duration, Macaulay duration, convexity and DV01 of that portfolio?

Reference no: EM133120060

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