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Unformatted text preview: 4.88 d. 2.50 5) Which of the following bonds has the greatest interest rate risk? a. A 5% 10-year callable bond yielding 4% b. A 5% 10-year putable bond yielding 6% c. A 5% 10-year option free bond yielding 4% d. A 5% 10-year option free bond yielding 6% 6) A floating rate security will have the greatest duration: a. The day before the reset date b. The day after the reset date c. Just prior to maturity because it has the largest cash flow d. Never – floating rate securities have a duration of zero 7) The duration of a bond is 5.47, and its current price is $986.30. Which of the following is the best estimate of the bond price change if interest rates increase by 2%? a.-$109.40 b.-$107.90 c. $107.90 d. $109.40...
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This note was uploaded on 11/06/2010 for the course ECON Econ taught by Professor Liasa during the Spring '10 term at University of San Francisco.
- Spring '10