A 20 million 8-year bond pays 625 coupon with a 6 yield use, Ask an Expert

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A $20 Million 8-year bond pays 6.25% coupon with a 6% yield. Use the model to construct a 70% synthetic floater and 30% inverse-floater. The required synthetic has a 4% basis + 2% spread. Summarize your results including prices, price durations and convexities, multiples and ratios. Evaluate their various price sensitivities. Were the results what you expected? What were the model estimation errors?

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M91398902

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