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Q7. A non-callable bond with 18 years remaining maturity has an annual coupon of 7% and a $1,000 par value. The current yield to maturity on the bond is 8%. Which of the following is closest to the effective duration of the bond?
A) 8.24.
B) 9.63.
C) 11.89.
Q8. Calculate the effective duration for a 7-year bond with the following characteristics:
- Current price of $660
- A price of $639 when interest rates rise 50 basis points
- A price of $684 when interest rates fall 50 basis points
A) 6.8.
B) 3.1.
C) 6.5.
Q9. Consider an annual coupon bond with the following characteristics:
- Face value of $100
- Time to maturity of 12 years
- Coupon rate of 6.50%
- Issued at par
- Call price of 101.75 (assume the bond price will not exceed this price)
For a 75 basis point change in interest rates, the bond's duration is:
A) 5.09 years.
B) 8.79 years.
C) 8.17 years.
Q10. Assume that the current price of a bond is 102.50. If interest rates increase by 0.5% the value of the bond decreases to 100 and if interest rates decrease by 0.5% the price of the bond increases to 105.5. What is the effective duration of the bond?
A) 5.50.
B) 5.48.
C) 5.37.
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发表于 2009-3-5 10:25
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