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Fixed Income
Please don't use chat gpt, most of the time it is false.
Question 23
A bond costs 990 $ with a YTM of 3.50%. Next week the price will rise to 1.1205 as a result of a
rate cut to 3.05%. Calculate the dollar duration 1% (DV01)
a. $1.52
b. $1.72
c. $2.51
d. $2.89
Question 24
A bond costs 990 $ with a YTM of 3.50%. Next week the price will rise to 1,025$ as a result of a
rate cut to 3.15%. Calculate the dollar duration 1% (DV01).
a. $0.52
b. 50.72
c. $0.91
d. $1.00
e. $1.15
Question 25
Consider two 20-year bonds that trade at the same price. Each bond has a coupon rate of 5%,
paid semi-annually, and a face value of 1,000.
The first bond has a nominal YTM of 4.0%, convertible semi-annually, with a redemption value
of 1,100 .
The second bond has a nominal YTM of j%, convertible semi-annually, with a redemption value
of 800.
Calculate j.
a) 2.46%
b) 3.04%
c) 4.92%
d) 5.22%
e) 6.00%
Question 26
Calculate the duration of a 1% coupon bond (annual payments) with 4 years to maturity and an
actuarial yield of 6%.
a) 3 years
b) 3.53 years
c) 3.78 years
d) 3.94 years
e) 4 years
Question 27
Given a 20-year bond which pays a coupon of 7% annually with a YTM or 8%, a modified
duration of 16.3 and a convexity of 268.2. Suppose that the actuarial yield drops to 6.5%. What
will be the change in the estimated price under the duration with convexity rule?
a. +22.51%
b. -22.51%
c. +30.1%
d. -30.1%
e. +27,46%

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Fixed IncomePlease dont use chat gpt, most of the time it is fals.pdf

  • 1. Fixed Income Please don't use chat gpt, most of the time it is false. Question 23 A bond costs 990 $ with a YTM of 3.50%. Next week the price will rise to 1.1205 as a result of a rate cut to 3.05%. Calculate the dollar duration 1% (DV01) a. $1.52 b. $1.72 c. $2.51 d. $2.89 Question 24 A bond costs 990 $ with a YTM of 3.50%. Next week the price will rise to 1,025$ as a result of a rate cut to 3.15%. Calculate the dollar duration 1% (DV01). a. $0.52 b. 50.72 c. $0.91 d. $1.00 e. $1.15 Question 25 Consider two 20-year bonds that trade at the same price. Each bond has a coupon rate of 5%, paid semi-annually, and a face value of 1,000. The first bond has a nominal YTM of 4.0%, convertible semi-annually, with a redemption value of 1,100 . The second bond has a nominal YTM of j%, convertible semi-annually, with a redemption value of 800. Calculate j. a) 2.46% b) 3.04% c) 4.92% d) 5.22% e) 6.00% Question 26 Calculate the duration of a 1% coupon bond (annual payments) with 4 years to maturity and an actuarial yield of 6%. a) 3 years b) 3.53 years
  • 2. c) 3.78 years d) 3.94 years e) 4 years Question 27 Given a 20-year bond which pays a coupon of 7% annually with a YTM or 8%, a modified duration of 16.3 and a convexity of 268.2. Suppose that the actuarial yield drops to 6.5%. What will be the change in the estimated price under the duration with convexity rule? a. +22.51% b. -22.51% c. +30.1% d. -30.1% e. +27,46%