bonds 5 - -5.087826-2.361165-11.26132 1. The percentage...

Info iconThis preview shows page 1. Sign up to view the full content.

View Full Document Right Arrow Icon
Bond Price Relationships Bond 1 Bond 2 Bond 3 Bond 4 Bond 5 Bond 6 Coup.(semi) /Matur. 9% 5yr 9% 25yr 6% 5yr 6% 25yr zero 5yr zero 25yr init. price (9%) 100 100 88.130923 70.356988 64.392768 11.070965 Yield % price change 8.50% 2.0027218 5.1482653 2.1053547 5.5455544 2.4241263 12.722689 8.90% 0.3966103 0.9961901 0.4168542 1.0709641 0.4797304 2.421777 8.99% 0.0395733 0.0988905 0.0415914 0.106267 0.0478595 0.2395266 9.01% -0.039554 -0.09873 -0.041571 -0.106084 -0.047834 -0.238943 9.10% -0.394665 -0.980117 -0.414769 -1.052672 -0.477212 -2.363396 9.50% -1.954087 -4.746093 -2.053231
Background image of page 1
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: -5.087826-2.361165-11.26132 1. The percentage price change for a given yield change is not the same for all bonds (close if the yield change is very small) 2. For a given basis point change, the percentage price increase is greater than the percentage price decrease. 3. For a given maturity and yield, the lower the coupon, the greater the price volatility. 4. For a given coupon and yield, the longer the term to maturity, the greater the price volatility....
View Full Document

This note was uploaded on 04/18/2008 for the course BUSI 2008 taught by Professor Dob during the Spring '08 term at Carleton CA.

Ask a homework question - tutors are online