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Part 1. Calculate the duration of a three-year bond with an annual coupon of $50 paid semiannually. The face value of the bond is $1,000.
Part 1.
Calculate the duration of a three-year bond with an annual coupon of $50 paid semiannually. The face value of the bond is $1,000. The zero rates for next three years are as follows.
Maturity (years) | Zero rate |
0.5 | 4.5 |
1.0 | 4.75 |
1.5 | 5.2 |
2.0 | 5.75 |
2.5 | 6 |
3.0 | 6.25 |
Part 2.
Calculate the change in the bond value if the yield increases by 1% using the duration of the bond.
Part 3.
What are the differences between an initial and a maintenance margin?
What are the required deposits after a margin call?
Part 4.
What is a Eurodollar?
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