Consider a bond maturing in 18 months, paying semiannual coupons at annual rate (5 %), with face

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Consider a bond maturing in 18 months, paying semiannual coupons at annual rate $5 \%$, with face value $\$ 10,000$. The term structure is flat, and the continuously compounded rate is $3 \%$. The current bond price is

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Its duration is

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We note that duration is fairly close to bond maturity, since there is a large terminal cash flow with respect to coupon payments.

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An Introduction To Financial Markets A Quantitative Approach

ISBN: 9781118014776

1st Edition

Authors: Paolo Brandimarte

Question Posted: Apr 02, 2024 07:00 AM

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Consider a bond maturing in 18 months, paying semiannual coupons at annual rate (5 %), with face

Question:

Pe=250 x e-0.5x0.03 = 10,287.86. +250 x e -10.03 +10,250 x e-1.5x0.03

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An Introduction To Financial Markets A Quantitative Approach

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