Question
U.S. Treasury STRIPS, close of business November 15, 2015: Maturity Price Maturity Price November 16 99.471 November 19 95.035 November 17 98.782 November 20 92.570
U.S. Treasury STRIPS, close of business November 15, 2015:
Maturity | Price | Maturity | Price | |||||||
November 16 | 99.471 | November 19 | 95.035 | |||||||
November 17 | 98.782 | November 20 | 92.570 | |||||||
November 18 | 96.827 | November 21 | 89.342 | |||||||
a-1. Suppose the (quoted) yield on each of the six STRIPS increases by 0.05 percent. Calculate the percentage change in price for the one-year, three-year, and six-year STRIPS. (A negative value should be indicated by a minus sign. Do not round intermediate calculations. Enter your answers as a percent rounded to 3 decimal places.)
a-2. Which one has the largest price change?
b-1. Suppose the quoted price on each STRIPS decreases by 0.500. Calculate the percentage change in (quoted) yield for the one-year, three-year, and six-year STRIPS. (Input all amounts as positive values. Do not round intermediate calculations. Enter your answers as a percent rounded to 2 decimal places.)
b-2. Which one has the largest yield change?
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