Question
You have a 2-year zero coupon bond that pays $100, which price today is $79.72. In the market there is a two-year 5% coupon bond
You have a 2-year zero coupon bond that pays $100, which price today is $79.72. In the market there is a two-year 5% coupon bond with principal of $100, as well. The spot rate for 1 year is r1 = 3%.
(a) What is the price today of the coupon bond? (b) What is yield to maturity (YTM) of every bond? (c) What is the duration of every bond? (d) What is the modied duration of every bond? (e) Using the previous information, what is the percentage change in the price of every bond if there is a 1% change in the yield?
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ISE Analysis For Financial Management
Authors: Robert C. Higgins Professor, Jennifer Koski
13th International Edition
1265042632, 9781265042639
