The current price of $1 par of a zero maturing at time 2 is $0.90 a) What is the 2-year spot rate?
The current price of $1 par of a zero maturing at time 2 is $0.90
a) What is the 2-year spot rate?
b) What is the dollar duration of $1 par of the 2-year zero? The current price of $1 par of a zero maturing at time 3 is $0.84
c) What is the 3-year spot rate?
d) What is the dollar duration of $1 par of the 3-year zero?
e) What is the dollar convexity of $1 par of the 3-year zero?
f) Using dollar duration alone, approximate the change in the value of $1,000,000 par of the 3-year zero given an immediate decline in all discount rates of 50 basis points.
g) Using dollar duration and dollar convexity, approximate the change in the value of $1,000,000 par of the 3-year zero given an immediate decline in all discount rates of 50 basis points
Answers
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Posted 17 Aug 2017 03:08 PM
My Price 4.00
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