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For the following bonds, and given the yield curve, choose a portfolio of two bonds which give you a positive change in price, then calculate
For the following bonds, and given the yield curve, choose a portfolio of two bonds which give you a positive change in price, then calculate the change in price for each bond and the portfolio. Also, for the portfolio of bonds you picked, calculate two zero coupon bonds required to hedge it and plot the value of assets and liabilities as interest rate changes from 1 to 15 percent. The bonds and the yield curve are: Bonds Type Issue Price Coupon(%) | Maturity YTM(%) | Curr Yield(%) | Fitch Ratings | Callable Corp BANK AMER CORP Corp AFLAC INC Corp AVON PRODS INC Corp APPLE INC 4.972 BBB 5.42 15-Mar-17 1.631 128.698.5 15-May-191.949 5 15-Mar-23 4.999 232.829 109 6.605 5.000 2.480 No No No No 100 96.76 2.4 3-May-23 Yield Curve Time Imo3 mo 6 mo 3 yr 5 yr yr 10 yr 20 yr 30 yr rate 4.75 5.02 5.09 5 4.824.74 4.7 4.7 4.71 4.91 4.81 Use 10/10/2014 as the settlement date for all bonds, use integers for differences in years, discard the convexity part of the bond equation. For the following bonds, and given the yield curve, choose a portfolio of two bonds which give you a positive change in price, then calculate the change in price for each bond and the portfolio. Also, for the portfolio of bonds you picked, calculate two zero coupon bonds required to hedge it and plot the value of assets and liabilities as interest rate changes from 1 to 15 percent. The bonds and the yield curve are: Bonds Type Issue Price Coupon(%) | Maturity YTM(%) | Curr Yield(%) | Fitch Ratings | Callable Corp BANK AMER CORP Corp AFLAC INC Corp AVON PRODS INC Corp APPLE INC 4.972 BBB 5.42 15-Mar-17 1.631 128.698.5 15-May-191.949 5 15-Mar-23 4.999 232.829 109 6.605 5.000 2.480 No No No No 100 96.76 2.4 3-May-23 Yield Curve Time Imo3 mo 6 mo 3 yr 5 yr yr 10 yr 20 yr 30 yr rate 4.75 5.02 5.09 5 4.824.74 4.7 4.7 4.71 4.91 4.81 Use 10/10/2014 as the settlement date for all bonds, use integers for differences in years, discard the convexity part of the bond equation
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