Question 4 a) Find the duration of a 6% coupon bond making annual coupon payments if it has three years until maturity a

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Question 4 A Find The Duration Of A 6 Coupon Bond Making Annual Coupon Payments If It Has Three Years Until Maturity A 1 (23.77 KiB) Viewed 58 times

Question 4 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]