22. A coupon bond matures in 4 years. Its par is $1,000 and it makes eight coupon...

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22. A coupon bond matures in 4 years. Its par is $1,000 and it makes eight coupon payments of $21, one every one-half year. The continuously compounded forward rate is r(t)=0.022 + 0.005 t − 0.004 t 2 + 0.0003 t 3.

(a) Find the price of the bond.

(b) Find the duration of this bond.

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Statistics And Data Analysis For Financial Engineering With R Examples

ISBN: 9781493926138

2nd Edition

Authors: David Ruppert, David S. Matteson

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Question Posted: Nov 02, 2024 04:00 AM

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22. A coupon bond matures in 4 years. Its par is $1,000 and it makes eight coupon...

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Statistics And Data Analysis For Financial Engineering With R Examples

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