Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

A 30-year maturity bond making annual coupon payments with a coupon rate of 14.5% has duration of 11.32 years and convexity of 185.2. The bond

image text in transcribed
image text in transcribed
image text in transcribed
image text in transcribed
A 30-year maturity bond making annual coupon payments with a coupon rate of 14.5% has duration of 11.32 years and convexity of 185.2. The bond currently sells at a yield to maturity of 8%. Required: a. Find the price of the bond if its yield to maturity falls to 7%. (Do not round intermediate calculations. Round your answer to 2 decimal places.) Price of the bond b. What price would be predicted by the duration rulefits yield to maturity falls to 79? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Predicted price c. What price would be predicted by the duration-with-convexity rule, if its yield to maturity falls to 7%? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Predicted price ** d-1. What is the percent error for each rule, if its yield to maturity falls to 7%? (Enter your answers as a positive value. Do not round intermediate calculations. Round "Duration Rule" to 2 decimal places and "Duration- with-Convexity Rule" to 3 decimal places.) YTM Percent Error for Duration Rule Percent Error for Duration-with- Convexity Rule 79% % 96 e-2. What price would be predicted by the duration rule, if it's yield to maturity rises to 9%? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Predicted price nces e-3. What price would be predicted by the duration-with-convexity rule, if it's yield to maturity rises to 9% (Do not round intermediate calculations. Round your answer to 2 decimal places.) Predicted price e-4. What is the percent error for each rule? (Do not round intermediate calculations. Round "Duration Rule" to 2 decimal places and "Duration- with-Convexity Rule" to 3 decimal places.) YTM Percent Error for Duration Rule Les Percent Error for Duration-with- Convexity Rule % 9% % e-5. Are your conclusions about the accuracy of the two rules consistent with parts (a) - (d)? D Yes No

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

More Books

Students also viewed these Finance questions