A bond is maturing in 105 years and has a semiannual coupon, Ask an Expert

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A bond is maturing in 10.5 years and has a semiannual coupon of 4.3% and price 92-15+. a) Calculate its Yield to Maturity. Show your calculation or explain how you calculated the yield. b) Suppose your market value of this bond is 8 Million. What is Modified Duration, Macaulay Duration, Convexity and DV01 of this portfolio? c) Using Modified Duration and Convexity formula approximation calculate bond price if the Yield to Maturity increased 20 Basis Points. d) Calculate the exact Bond price using the full discount formula. Compare to previous result in part C.

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Financial Management, Finance

Category:- Financial Management
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