EXHIBIT 1 Illustration of Full Valuation Approach to Assess the Interest Rate Risk of a Bond Position for Three Scenarios Current bond position: 9% coupon 20-year bond (option-free) Price: 134.6722 Yield to maturity: 6% Par value owned: $10 million Market value of position: $13,467,220.00 Yield New New Percentage change in market value (%) Scenario change (bp) yield price 1 50 6.5% 127.7606 -5.13% 2 100 7.0% 121.3551 -9.89% 3 200 8.0% 109.8964 -18.40% New market value ($) 12,776,050 12,135,510 10,989,640
EXHIBIT 1 Illustration of Full Valuation Approach to Assess the Interest Rate Risk of a Bond Position for Three Scenarios Current bond position: 9% coupon 20-year bond (option-free) Price: 134.6722 Yield to maturity: 6% Par value owned: $10 million Market value of position: $13,467,220.00 Yield New New Percentage change in market value (%) Scenario change (bp) yield price 1 50 6.5% 127.7606 -5.13% 2 100 7.0% 121.3551 -9.89% 3 200 8.0% 109.8964 -18.40% New market value ($) 12,776,050 12,135,510 10,989,640
Chapter5: Bond, Bond Valuation, And Interest Rates
Section: Chapter Questions
Problem 24SP
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how can I calculate the column of New price in this picture according to new yield column? I don't remember it's formula.
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Author:
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Publisher:
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