metad719_ProblemSet2 (5).xlsx - Fixed Income Problem Set#2 Interest Rate Risk Bond Duration and Convexity 2019 Spring As a homework exercise[to be done

# metad719_ProblemSet2 (5).xlsx - Fixed Income Problem Set#2...

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Fixed Income Problem Set #2: Interest Rate Risk, Bond Duration and Convexity 2019 Spring Fixed Income Analysis =2= 2019 Fall1 BU MET
Fixed Income Problem Set #2: Interest Rate Risk, Bond Duration and Convexity 2019 Spring Fixed Income Analysis =3= 2019 Fall1 BU MET 23. In Question 1, we explored the bond price sensitivity when bonds with a low initial market rate changes [from 3% to 4%]. In this question, we will do the following similar calculations for bonds with a much higher initial market rate [changing from 10% to 11%]: a) semiannual coupons with a Face = \$1,000 Initial market rate of bond = 10% Period 1 Coupon Maturity (Years) Rate 5 30 3% 6% 9% b) semiannual coupons with a Face = \$1,000 Two days later, market rate changed to 11% Period 2 Coupon Maturity (Years) Rate 5 30 3% 6% 9% c) %∆ in bond price from Period 1 to 2 when market rate changes from 10% → 11% Coupon Maturity (Years) Rate 5-year 30-year 3% 6% 9% 24. a) Bond price sensitivity of bonds at different level of bond market rates, maturity, and coupon rates.

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• Fall '16
• Larry
• Bond duration, Fixed income analysis, Bond convexity

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