Assignment: Interest Rates and Debt Securities Assessment We have two purposes in this assignment: 1) to understand these various drivers to interest rates, and 2) to better understand the valuation methods associated with debt securities Write an assessment in which you address the following problems/questions: Form a discussion on the possible determinants of market interest […]
For the bond with a coupon of 5.5% paid annually, with 10 years to maturity and a YTM of 6.10%, calculate the duration and modified duration.
SECTION ONE: Calculations and Analysis Question 1 [10 marks] a) For the bond with a coupon of 5.5% paid annually, with 10 years to maturity and a YTM of 6.10%, calculate the duration and modified duration. (3 marks) b) For the bond described in a) above, calculate the convexity. (3 marks) c) Calculate the price […]