Using both duration and convexity, estimate the new price of a 5-year 9% coupon bind with par calue of $100 and yueld of 9% that experiences a 100-basis-point increase in yield. $96.14 $96.10 $96.16 $96.12
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- You have the following Yield to maturities on Zero-coupon T-bills for 1000 par: Year YTM 1 2.1% 2 2.2% 3 2.4% 4 2.8% 5 3.0% What is the implied 2nd year's future short rate? Could you explain how to find R2 or how to calculate it?Inputs Annual Coupon Rate 3.70% Number of Years 6 Face Value (PAR) $1,000 Price $1,100.27 In Excel: a. What is the YTM? b. Calculate Macaulay’s duration and co c. Plot the price-yield relationship using Excel. Hint: (Calculate prices for different yields, e.g., yields from 0.5% to 23.5%; then your x axis is yields and y axis prices. The plot should show an inverse relationship .What is the price of an American CALL option that is expected to pay a dividend of $2 in three months with the following parameters? s0 = $40d = $2 in 3 monthsk = $43 r = 10%sigma = 20%T = 0.5 years (required precision 0.01 +/- 0.01)
- what is the rate of return from t to t+1 on abond that is priced at 2,000 initially, provides a coupon paymentat time t+1of 40$ and has its price rise to 2,100 at time t+1Solve for the Yield using the following data: Frequency Semi If Held to Maturity 1 2 3 4 5 6 7 8 9 10 Coupon 7% Cash Flow (coupon payment) Note: in final period, you also get the Par Value ($1000) in a Maturity 5 Discount Factor = 1/(1+YTM/2)* Call Price Par Value Current Price Years til Call sss $ 1,000 PV of CF CF x DF $ 1,047 PV if held to Maturity $ $ 1,040 2 If Called 1 2 3 4 use =rate(...)* Yield to Maturity Yield to Call *don't forget to x2 Cash Flow (coupon payment) Discount Factor = 1/(1+YTC/2)* PV of CF CF x DF PV if called $ Note: in final period, you also get the Call Price ($1040) in addition to the Coupon.Economics Suppose you have 10-year zero-coupon bond, risk free, par value of $1,000, priced to yield 10%. Answer the following questions. (1) Find current price (2) Estimate duration-predicted price given +500 b.p. yield change. (3) Estimate duration-predicted price given -500 b.p. yield change. (4) It is known that duration-predicted price is different from actual price. Why?
- What is the result in B12? A 1 Settlement Date 2 Maturity Date 3 First Call Date 4 Time to Maturity (Years) 5 Coupon Rate 6 Required Return 7 Frequency 8 9 10 Basis 11 Value 12 Yield to Call 12 Face Value Call Price O a. 7.39% O b. 12.68% O c. 10.05% O d. 5.58% B 10/23/2020 10/23/2030 10/23/2025 $ $ 10 7.00% 10.00% 2 1,000 1,035 0 $813.07 ?Suppose we observe the prices of 7-year zero-coupon (with a face value of $91.36) and year 6-to-7 forward rate as follows: P(0,7) = $90.9991 and f(6,7) = 0.00064117%. Extract the 7-year continuously compounded yields y(0,7):6. Suppose the stock price is $40 and the effective annual interest rate is 8%. a. Draw on a single graph payoff and profit diagrams for the follow- ing options (the time to maturity is one year): i. 35-strike call with a premium of $9.20 ii. 40-strike call with a premium of $6.25 iii. 45-strike call with a premium of $4.08 b. Consider your payoff diagram with all three options graphed to- gether. Intuitively, why should the option premium decrease with the strike price?
- r1=0.07, r2=0.065, r3=0.06, r4=D0.05, r5=0.475, r6=0.04 Find current price P(t=0) with F=5000 with annual coupon rate is 0.05? Find annual y rate? (Everything is annual)Explain why FV of each given problem is valued as 1,000. If the current price is $900; 10% coupon; maturity = 15 years; what is the YTM Pancton Anguments P 100 - G Retum the teest p pertedt nee nore the beginng et the pensd - tsmet me end at he penad-er ommea Feme e- a142ss See te Cau If the current price is $1100; 10% coupon; maturity = 15 years; what is the YTM Functen Argumarts Nper 15 Pat 100 N- 10 S. 00 1000 Te dWhat is the price of a European CALL option that is expected to pay a dividend of $2 in three months with the following parameters? s0 = $40d = $2 in 3 monthsk = $42 r = 10%sigma = 20%T = 0.5 years (required precision 0.01 +/- 0.01)