Question
A) Calculate the duration and volatility of Security A and Security B. The cash flows for Security A pays $160, while the cash flows for
A) Calculate the duration and volatility of Security A and Security B. The cash flows for Security A pays $160, while the cash flows for Security B pays $300, each period for a total of four years. The going interest rate for both securities is 12%.
Security A Bond A has a duration of ... years, with a volatility of .
Security B Bond B also has a duration of . years, with a volatility of .
B) What is the difference in duration between both securities A and B? How would the price of each respond to a 1% change in Yield to Maturity?
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FINA 6201 Financial Theory And Policy Emery Trahan
Authors: Emery Trahan
1st Edition
1609270754
