An investor buys a 6% annual payment bond with three years to maturity. The bond has a yield-to-maturity of 8% and is currently priced at 94.845806 per 100 of par. The bond's Macaulay duration is closest to:

a. 2.62

b. 2.78

c. 2.83

1. A bond with exactly nine years remaining until maturity offers a 3% coupon rate with annual coupons. The bond, with a yield-to-maturity of 5%, is priced at 85.784357 per 100 of par value. The estimated price value of a basis point for the bond is closest to:

A. 0.0086

B. 0.0648

C. 0.1295

1. (a) What are the limitations of using Treasury strips to construct the theoretical spot rate curve?

(b) What is convexity bias.

Answer rating: 100% (QA)

Answer Lets start with the first question The Macaulay duration of a bond is a measure of its interest rate sensitivity and represents the weighted av... View the full answer