exercise from bond analysis and valuation.
get some problems while doing the exercises
all Digi13:280 0 92%QUESTION ONE (20 MARKS)a. Anna Berhad has issued a four year bond with par value ofRM1000, 8 percent coupon that pay annually and a yield tomaturity of 8 percent. Calculate the modified duration andconvexity of this bond.(16 marks)QUESTION TWO (25 MARKS)b. Rey Berhad issued a RM1000 par value bond with 5 years tomaturity, 6 percent coupon and a yield to maturity of 8percent. The interest is paid semianually.L. Calculate the modified duration and convexity of thisbond.(17 marks)i Estimate the percentage price change if the yield rises from8% to 8.5%.(2 marks)QUESTION THREE (25 MARKS)A RM1000 par value with 3 years bond pays annual coupons ata rate 7 percent coupon rate (with annual coupon payments).The current annual effective interest rate is 7%.i Calculate the duration, modified duration and convexity ofthis bond.(15 marks)in If the interest rate change from 7% to 8%, what is thepercentage change in the price of the bond?(3 marks)-Using the duration rule, including convexity, what is thepercentage change in the bond price?(3 marks)
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