User Account

All Pages

What are the portfolio duration and convexity

Assignment Help Finance Basics
Reference no: EM133111512

A bond portfolio consists of two bonds. There is a 10-year zero coupon bond with a yield of 5% (continuously compounded). And there is a six-month zero-coupon bond with the same yield. The principal of each bond is $100.

(a) What are the portfolio's duration and convexity?

(b) Use the duration and convexity to approximate the change on the bond portfolio value when there is a 1% decrease in the yield.

Reference no: EM133111512

Questions Cloud

Case-high tech ventures : High Tech Ventures (HTV) currently has 250,000 shares outstanding that are all owned by the founder. You are a venture capitalist considering a $1.80 million in
Calculate the amount the banker : Assume the time from acceptance to maturity on a $10,000,000 banker's acceptance is 90 days. Further assume that the importing bank's acceptance commission is 1
Calculate the shares of stock : A venture capital firm wants to invest $5 million in Artichoke Corp., a startup biotech firm. Artichoke is expected to go public in 4 years.
Calculating the npv of project : As part of your analysis you have gathered some information about two other firms. The first firm specializes in temporary photography and is called SnapPic.
What are the portfolio duration and convexity : A bond portfolio consists of two bonds. There is a 10-year zero coupon bond with a yield of 5% (continuously compounded). And there is a six-month zero-coupon b
Prepare a basic analysis and a debit-credit analysis : Services provided but not collected in cash or recorded total $905. For each adjustment, prepare a basic analysis, a debit-credit analysis
Calculating rrsp room : Calculating RRSP room. How much contribution room should you have if you have never contributed to the RRSP plan and have made $30,000 of income per year over t
What is the value-at-risk for one of the investments : Suppose that each of two independent investments has a 2% chance of a loss of $10 million and 98% chance of a profit of $1 million.
Compute the change in the value of the portfolio : Compute the change in the value of the portfolio when the underlying increases from $100 to $105.

Reviews

Write a Review

Finance Basics Questions & Answers

  What is the projects npv using a discount rate of 7 should

big steves makers of swizzle sticks is considering the purchase of a new plastic stamping machine. this investment

  Find out the risk-free rate in economy

Beta of A is 1.8, and beta of B is 3.4. Suppose the CAPM holds. Find out the risk-free rate in this economy.

  What is a low-coupon bond

What is a low-coupon bond? Does having a low coupon bond make the dollar price more volatile? Explain.

  Can the cash flow statement be manipulated

Are most investors sophisticated enough to interpret a cash flow statement? Should they be?

  Find the total capital repaid and interest paid

A loan of £10.000 is to be repaid by equal monthly instalments in arrears over 10 years. The amount of the monthly payment is calculated

  What is the yield to maturity of a zero coupon bond

What is the yield to maturity (YTM) of a zero coupon bond with a face value of $1,000, current price of $800 and maturity of 7 years?

  Describe the events that occur in an efficient market

Describe the events that occur in an efficient market in response to new information that causes the expected return to exceed the required return. What happens to the market value?

  Summarize the phenotypes possible for children

A full head of hair is dominant to the recessive male pattern baldness in humans. Also, unattached earlobes are dominant to attached earlobes.

  What is the total amount that must be paid for option

Ramona Garcia will be remodeling her kitchen before she places her home on the market to sell. She researched what three local companies would charge

  Develop a new product development process

Develop a new product development process based on market-driven best practices and framework for your organisation

  Method account for the value of the tax shield on debt

How and why does this method account for the value of the tax shield on debt?

  Douglass inc has sales of 132000 costs of 103000

douglass inc. has sales of 132000 costs of 103000 depreciation expense of 11000 and interest paid of 4100. the tax rate

Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

Submit Assignment

Academics

Major Subjects

Majors

Get In Touch

whatsapp: +1-415-670-9521

Phone: +1-415-670-9521

Email: [email protected]

TERMS & POLICIES

HELP & SUPPORT

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd