What are its macaulay duration-modified duration

Assignment Help Financial Management

Reference no: EM131854947

A 4-year 12% coupon bond has a yield of 10%.

a) What are its Macaulay Duration, Modified duration, and convexity (I do not mean effective convexity)?

b) What is the actual price change, Modified Duration predicted price change and Modified Duration + convexity predicted change in price for an increase of 50 basis point in the yield.

Assume a flat term structure before and after the increase and annual coupons. (Note: For convexity do not use effective convexity measure)

Reference no: EM131854947

Questions Cloud

Calculate what the maximum profit will be : Calculate the sales/production mix which will maximize profit for the year given the above constraints and calculate what the maximum profit will be?

Calculate the selling price of the tires : A tire dealer bought tires from a wholesaler at $75.00 dollars each and sold the tires at a mark-up of 25% of cost.

Investment alternatives with different compounding periods : Comparisons of investment alternatives with different compounding periods should be made based on the:

Find the depreciated value of the machine : A tool and die company buys a machine for $175,000 and it depreciates at a rate of 30% per year. (In other words, at the end of each year

What are its macaulay duration-modified duration : What are its Macaulay Duration, Modified duration, and convexity (I do not mean effective convexity)?

Find the first year monthly payments and unpaid balance : Find the first year's monthly payments and the unpaid balance after each month. (b) Find the total amount of interest paid over the term of the loan.

What would the exercise value be : If Basso's stock price actually rises to $67, what would the exercise value be?

Object with negligible air resistance : An object with negligible air resistance is dropped from the top of the Willis Tower in Chicago at a height of 1451 feet. During the first second of fall

Balance in the account is given by the formula : Suppose you deposit $10,000 into an account earning 3.5% interest compounded quarterly. After n quarters the balance in the account is given by the formula:

User Account

All Pages