Consider an option-free Bond A with the following information (assume the bonds coupon interest is paid semiannually):

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Consider an option-free Bond A with the following information (assume the bond’s coupon interest is paid semiannually):

Coupon rate = 8%
Yield to maturity on a bond equivalent basis = 8%
Maturity in years = 2 Par value = $1,000 Market price = $1,000

a. What is the price value of a basis point for Bond A?

b. What is the yield value of 1⁄32?

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Introduction To Fixed Income Analytics

ISBN: 9780470572139

2nd Edition

Authors: Steven V. Mann, Frank J. Fabozzi

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Question Posted: Apr 30, 2024 01:02 AM

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Consider an option-free Bond A with the following information (assume the bonds coupon interest is paid semiannually):

Question:

Step by Step Answer:

a The price value of a basis point PVBP represents the change in the price of a bond for a 1 basis point 001 change in yield It can be calculated using the following formula PVBP Price at Yield 1 bp P...View the full answer

Introduction To Fixed Income Analytics

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