What is the macaulay duration of the above bond

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1. You purchase an Australian Commonwealth Government Bond (CGB) that settles on Tuesday 15 June 2010. The CGB has a YTM of 7.8%, pays semi-annual coupons at a rate of 7% pa. and matures on 15 July 2011, what is the settlement price of the bond?

2. You purchase an 8% July 2013 CGB with a YTM of 8.6% that settles on 15 July 2010. You sell the bond when it is yielding 9.4%. The sale settles on 15 July 2012, If u can reinvest the coupon payments at 6% p.a what is your holding period return? What are the three components of this return?

3. What is the duration of a 3-year 12% CGB yielding 9%. What is its modified duration?

4. What is the settlement price of an August 2014 CGB with a coupon of 5.6% and a YTM of 4.8% if the transaction settles on July 16 2010? What is the quoted price?

5. What is the Macaulay duration of the above bond?

6. What is the modified duration of the bond?

7. What is the approximate price change if interest rates increase by 50 basis points using a duration approximation?

8. What is the holding period return if you purchase this bond on July 16 2010, sell it on December 15 2011 when its YTM is 6.4% and you reinvest your coupons at 5% pa. compounded monthly?

Reference no: EM131825571

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