{[ promptMessage ]}

Bookmark it

{[ promptMessage ]}

Assignment#2 - Chapter 4 4-2(a PVBP PVBP=-MD*P*0.0001 Bond...

Info iconThis preview shows pages 1–3. Sign up to view the full content.

View Full Document Right Arrow Icon

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full Document Right Arrow Icon
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: Chapter 4 4-2 (a) PVBP PVBP=-MD*P*0.0001 Bond A: -1.8149*0.0001*100=-0.0181 Bond B: -3.9944*0.0001*104.055=-0.0416 (b) Macaulay duration Using Excel functions (DURAION, MDURATION) D A =1. 1.887546 (=DURATION("2006/10/02","2008/10/02",0.08,0.08,2,1) D B = 4.154176 (=DURATION("2006/10/02","2011/10/02",0.09,0.08,2,1) (c) Modified duration MD A = 1.814948 (=MDURATION("2006/10/02","2008/10/02",0.08,0.08,2,1) MD B = 3.9944 (=MDURATION("2006/10/02","2011/10/02",0.09,0.08,2,1) (d) Approximate Duration: (P--P + )/2P o *(dY) D A ’=(100.3638-99.6379)/(2*100*0.002)=1.8148 D B ‘=(104.8909-103.2283)/(2*104.055*0.002)=3.9947 Both durations by using approximate approach would be almost same as above. (e) Convexity As the course-note says, C A =4.28(where, c=4, y=0.04, n=4, p=100) C B =19.76 (where, c=4.5, y=0.04, n=10, p=104.55) (f) Approximate Convexity: (P--P + )-2P o /P o *(dY) 2 C A ’=4.28 100.3638+99.6379-(2*100)/100*(0.001) 2 C B ’=19.76 104.8909+103.2283-(2*104.055)/104.055*(0.001) 2 Both convexities by using approximate approach would be almost same as above.Both convexities by using approximate approach would be almost same as above....
View Full Document

{[ snackBarMessage ]}

Page1 / 5

Assignment#2 - Chapter 4 4-2(a PVBP PVBP=-MD*P*0.0001 Bond...

This preview shows document pages 1 - 3. Sign up to view the full document.

View Full Document Right Arrow Icon bookmark
Ask a homework question - tutors are online