1.The duration of a 20-year, 8 per cent coupon T-bond selling at par is 10.292 years. The...
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1.The duration of a 20-year, 8 per cent coupon T-bond selling at par is 10.292 years. The bond’s interest is paid semi-annually, and the bond qualifies for delivery against the T-bond futures contract.
What is the modified duration of this bond?
What is the impact on the T-bond price if market interest rates increase 50 basis points?
If you sold a T-bond futures contract at 95 and interest rates rose 50 basis points, what would be the change in the value of your futures position?
If you purchased the bond at par and sold the futures contract, what would be the net value of your hedge after the increase in interest rates? LO 7.2, 7.3
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Related Book For
Financial Institutions Management A Risk Management
ISBN: 9781743073551
4th Edition
Authors: Helen Lange, Anthony Saunders, Marcia Millon Cornett
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