Exam 13: Bond Analysis and Portfolio Management Strategies

USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) A $1000 par value bond with five years to maturity and a 6 percent coupon has a yield to maturity of 8 percent. Interest is paid semiannually. -Refer to Exhibit 13.1. Estimate the percentage price change for this five-year, $1,000 par value bond, with a 6 percent coupon, if the yield rises from 8 percent to 8.5 percent. Interest is paid semiannually.

A pure yield pickup swap involves swapping out of a

Calculate the Macaulay duration for a five-year, $1,000 par value bond, with a 6 percent coupon and a yield to maturity of 8 percent. Interest is paid annually.

Estimating forward rates from the spot rate curve is based on the assumption that the ____ hypothesis accurately describes the shape of the yield curve.

Contingent immunization is a strategy that allows the bond manager flexibility to actively manage the portfolio subject to an overriding constraint that the portfolio remains immunized at some predetermined yield level.