What is the interest rate sensitivity of the bond

Reference no: EM13263180

An six-year annual-pay coupon bond was issued with a face value of $1000 and a coupon rate of 12%. It is now 1.25 years later and the yield-to-maturity is 9%. (Keep in mind that the cash flows happen 0.75 years, 1.75 years, 2.75 years, etc. from now.)

You may use a computer for computations, but please show the basic algebra.

(a) What is the \dirty price" of the bond? (Remember, the dirty price is the current value of the bond. It includes all interest accrued since the last coupon date.)
(b) How much accrued interest does the bond contain? (Convention is to accrue interest at a constant dollar amount per day - simple interest, NOT compound interest.)
(c) What is the clean price of the bond?
(d) What is the Macaulay Duration of the bond?
(e) What is the interest rate sensitivity of the bond?

Reference no: EM13263180

Questions Cloud

What is the dirty price of the bond : An six-year annual-pay coupon bond was issued with a face value of $1000 and a coupon rate of 12%. It is now 1.25 years later and the yield-to-maturity is 9%. (Keep in mind that the cash flows happen 0.75 years, 1.75 years, 2.75 years, etc. from n..

What is the cans kinetic energy : A 480g , 8.00-cm-diameter solid cylinder rolls across the floor at 1.50m/s. What is the can's kinetic energy

Find distance zf to use to obtain zs for signal frequency : Assuming that the feed point impedance of the complementary 0.475 l dipole is 70 + j0 ohms if it were fed in the center, calculate the distance Zf to use to obtain Zs = 50W for a signal frequency f = 1000 MHz.

What is the velocity of the ice boat : An inventor designs an ice boat that is propelled by pumping a jet of water directly out the rear in a direction parallel to the ice. What is the velocity of the ice boat when the water is gone

What is the interest rate sensitivity of the bond : An six-year annual-pay coupon bond was issued with a face value of $1000 and a coupon rate of 12%. It is now 1.25 years later and the yield-to-maturity is 9%. (Keep in mind that the cash flows happen 0.75 years, 1.75 years, 2.75 years, etc. from n..

Compute the current does the waffle iron carry : A certain waffle iron is rated at 0.62 kW when connected to a 120-V source. What current does the waffle iron carry

What will happen to the equilibrium term structure : Consider an investor who only wants to invest for a year. She expects the yield to maturity on a one-year zero to be 6% next year. In which one will she choose to invest for a year.

Find cutoff frequencies if sampling frequency in 30 khz : Sketch magnitude and phase responses (as linear gain versus digital frequencies) for each filter (use [0,π]). Indicate filter type. Find cutoff frequencies if sampling frequency in 30 kHz. Use 6 points only. Do not use MATLAB.

How does this influence how you interpret them : you will want to look through the rest of the website so that you understand where these letters are coming from. Who are these soldiers? Where are they from? How does this influence how you interpret them?

User Account

All Pages