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a) Find the duration of a 6% coupon bond making annual coupon payments if it has three years until maturity and has a yi
Posted: Wed May 18, 2022 10:59 pm
by answerhappygod
- A Find The Duration Of A 6 Coupon Bond Making Annual Coupon Payments If It Has Three Years Until Maturity And Has A Yi 1 (187.18 KiB) Viewed 55 times
a) Find the duration of a 6% coupon bond making annual coupon payments if it has three years until maturity and has a yield to maturity of 6%. Note: The face value of the bond is £1,000. [5 marks] b) What is the duration if the yield to maturity is 10%? Note: The face value of the bond is £1,000. [5 marks] c) An insurance
company must make payments to a customer of £10 million in one year and £4 million in five years. The yield curve is flat at 10%. If it wants to fully fund and immunize its obligation to this customer with a single issue of a zero- coupon bond, what maturity bond must it purchase? [5 marks]