Considering a Treasury Bond with a face value of USD
$1,000,000,000, issued on February 1, 2005 for 15 years that pays
annual coupons at a rate of 8% and base 365 (years with 365 days,
including leap years), answer the next questions:
1. When acquiring the title on October 28, 2016 with a
purchase IRR of 6% E.A., what is the Clean Price of the transaction
for each USD $100 of nominal value?
a. 111.622%
b. 100,000%
c. 106.930%
d. 105.726%
2. What is the dirty transaction price per $100 of face
value?
a. 105.726%
b. 106.930%
c. 111.622%
d. 100,000%
3. What is the accrued interest (transaction
coupon)?
a. 8%
b. 5.9178%
c. 6.00%
d. 5.8959%
4. What is the present value on 10/28/2016 of the coupon
paid on 02/01/2018, in millions of USD?
a. $72,589,754
b. $74,323,873
c. $78,783,305
d. $80,000,000
5. How much is the duration of the bond in
years?
6. How much is the convexity of the bond per $100 of face
value?
Considering a Treasury Bond with a face value of USD $1,000,000,000, issued on February 1, 2005 for 15 years that pays a
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