Question
There is a coupon bond on the market just after the coupon payment with a coupon payable semi-annually in the amount of 112.50 $. The
There is a coupon bond on the market just after the coupon payment with a coupon payable semi-annually in the amount of 112.50 $. The current price of this bond is 5000 $. The time to maturity is 3 years. Currently, the bond can be bought on the market at its face value. a) Please calculate the yield to maturity, the interest rate for this bond and duration for this bond. b) Please indicate what liability (the stream of payments) could be secured with 10 of these bonds using cash flow matching strategy. c) Please calculate the theoretical price (dirty and clean price) of this bond on one day before the next coupon payment - in calculations, please assume that a year has 360 days and each month 30 days.
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