Question
The following are today's yields on default free zero-coupon bonds: 1 year--2%; 2 year--2.5%; 3 year--3.5%; 4 year--5%. A. What are the one-year forward rates
The following are today's yields on default free zero-coupon bonds: 1 year--2%; 2 year--2.5%; 3 year--3.5%; 4 year--5%.
A. What are the one-year forward rates for 1 year, 2 years and 3 years out?
B. What is the expected yield curve for one, two and three year zero coupon bonds one year from now?
A bond currently sells at a price of 104 and has a yield to maturity of 7%. Suppose the yield to maturity falls by 25 basis points and the price increases to 105. What is the modified duration of the bond?
A ten-year bond has a yield of 5% and a duration of 7.1 years. If the bond's yield changes by 50 basis points, what is the percentage change in the bond's price?
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The Principles Of Project Finance
Authors: Rod Morrison
1st Edition
1409439828, 9781409439820
