On May 15, 2000 the semi annually compounded yield curve was as in Table 4 6 Calculate the convexity for the following securities (a) 4 year zero coupon bond (b) 2 1 4 year coupon bond paying 5 semiannually (c) 2 year coupon bond paying 3 quarterly (d) 3 1 2 year floating rate bond with 20 basis po...

a 16 b 47 c 385 d 028 025 due to f ...

On May 15, 2000 the semi-annually compounded yield curve was as in Table 4.6. Calculate the convexity

Question:

On May 15, 2000 the semi-annually compounded yield curve was as in Table 4.6. Calculate the convexity for the following securities:
(a) 4-year zero bond
(b) 2 1/4-year bond paying 5% semiannually
(c) 2-year bond paying 3% quarterly
(d) 3 1/2-year floating rate bond with 20 basis point spread, paid semiannually
(e) 4 1/4-year floating rate bond with 35 basis point spread, paid semiannually
Coupon
A coupon or coupon payment is the annual interest rate paid on a bond, expressed as a percentage of the face value and paid from issue date until maturity. Coupons are usually referred to in terms of the coupon rate (the sum of coupons paid in a...