Using Tables 4 8 and 4 9, compute the factor duration of level, slope, and curvature, for each of the following securities on February 15, 1994 (a) 4 year zero coupon bond (b) 2 1 2 year coupon bond paying 3 semiannually (c) 3 1 4 year floating rate bond with zero spread paid semiannually (d) 4 1 4...

You need factor sensitivities for yields with maturities from 3 months to 425 years wi ...

Using Tables 4.8 and 4.9, compute the factor duration of level, slope, and curvature, for each of

Question:

Using Tables 4.8 and 4.9, compute the factor duration of level, slope, and curvature, for each of the following securities on February 15, 1994:
(a) 4-year zero bond
(b) 2 1/2-year bond paying 3% semiannually
(c) 3 1/4-year floating rate bond with zero spread paid semiannually
(d) 4 1/4-year floating rate bond with 35 basis point spread paid semiannually

Coupon
A coupon or coupon payment is the annual interest rate paid on a bond, expressed as a percentage of the face value and paid from issue date until maturity. Coupons are usually referred to in terms of the coupon rate (the sum of coupons paid in a...