Question
1. You own a fixed income asset with a duration of five years. If the level of interest rates, which is currently 8%, goes down
1. You own a fixed income asset with a duration of five years. If the level of interest rates, which is currently 8%, goes down by 10 basis points, how much to expect the price of the asset to go up, in percentage terms?
2. If duration is 10 years, and the yield to maturity is 7%, what is the modified duration?
3. Change in YTM is 2%. YTM is 8%. Duration is 15 years. What is the percentage price change of the bond?
4. 12 years to maturity. Yield is 7%. Par is 1000. Coupon is $100 in semiannual payments. What is the duration?
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started
Foundations Of Financial Markets And Institutions
Authors: Franco Modigliani, Frank J. Jones, Michael G. Ferri, Frank J. Fabozzi
3rd Edition
0130180793, 978-0130180797
