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Calculate the duration adjusted duration and sensitivity

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Reference no: EM133046713

Question - Calculation of whole price, accrued interest, ex-coupon price, duration, adjusted duration and sensitivity:

Current value date: 11.01.2012

Maturity: 3.5 years

Coupon payment date: June 25, 2012, 2013, 2014 and 2015

Annual nominal coupon: 4.5%

Amortization: At par for 1.000€

Amortization date: 06.25.2015

Current IRR: 3.7%

Required -

1) Determine the whole Price, accrued interest and ex-copupon Price?

2) Calculate the duration, adjusted duration and sensitivity?

3) Estimate through sensitivity the entire Price of the bond with a new IIR of 3.9% and with a IRR of 3.3%?

4) Check the results and approximation of these estimates, comparing them with the real prices of the bond with the IRR of 3.9% and 3.3%?

Reference no: EM133046713

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