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雷达卡
| Marturity | Yield (%) |
| 3 | 1.95 |
| 5 | 2.568 |
| 7 | 2.931 |
| 10 | 3.426 |
| 20 | 3.715 |
| 30 | 3.885 |
state any anomalies that you may observe and offer an explanation as to why.
2.there are some bonds as follows:
bond a) 2-year, 9% annual-pay coupon bond priced at par. duration:1.759 convexity 4.772
bond b)2-year, zero-coupon bond priced at $708.42. duration:1.835 convexity 4.208
Bond c)2.5-year, 9% annual-pay coupon bond priced at par. duration: 2.176 convexity 6.918
Bond d)2.5-year, 7% semi-annual pay coupon bond priced at par. duration: 2.258 convexity 6.394
Bond e) 1.5year, 7% semi-annual pay coupon bond priced at par. duration: 1.401 convexity 2.676
Bond f) 1.5 year, zero-coupon bond priced at $816.30. duration :1.402 convexity 2.62
1)Which bond has the greatest sensitivity to interest changes? Why?
2) For an annualized 1% decrease in rates, what would be the approximate change in the price of bonds d) and e) above?
3) Which bond has the greatest non-symmetric capital gain and capital loss characteristics?
4) If you were an institutional investor and anticipated that the yield curve would have a uniform parallel shift downwards in the near future, which bond would you select？ 谢谢啦~~
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