What is the price of this inverse floater

Assignment Help Financial Management

Reference no: EM132054872

Consider a two-year maturity inverse floating-rate bond. Its coupon reset formula is 10%o-libor. Its discount rate is LIBOR+2%. Now it is at t=0 (this bond was just issued). The current LIBOR is 3% and the term structure is flat.

a. What is the price of this inverse floater?

b. What is the modified duration of this inverse floater?

c. What is the convexity of this inverse floater?

Reference no: EM132054872

Questions Cloud

What can you learn from these businesses : Utilizing the APUS library, please locate and analyze three businesses less than 10 years old that seem to be thriving, in spite of the economy.

How many pet owners have dogs : Which question most probably represents the purpose of the study? a) How many 'mail check stops' can a dog be expected to make on an evening walk?

Why might managers find a flexible-budget analysis : Write an analytical summary of your learning outcomes from chapters 9 and 10. In addition to your analytical summary, address the following.

What is a safe-haven currency : How does the fact that the yen is considered a safe-haven currency have the potential to impact the Japanese economy?

What is the price of this inverse floater : What is the price of this inverse floater? What is the convexity of this inverse floater?

Perform a hypothesis test on the two populations : Perform a hypothesis test (comparing means) on the two populations below. Assume equal means and normal distribution.

Estimate the population proportion of teachers : Based on this sample, estimate the population proportion of teachers at this college with doctorates.

What are the impacts on consumers are levied on imported : A bit of background, it started on the campaign trail where then candidate Trump pledged to "make America great" and "putting America's interests first."

Explain the principles and use of the security market line : In a two to three-page paper, consider the principles and use of the Security Market Line (SML) and Beta in managing return on an individual asset or portfolio.

User Account

All Pages