Current yield curve graph
[DOC File]Lec 3 Project: Duration Analysis
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The tangent line should be tangent to (i.e., touch) the yield curve at the YTM data point. To do this, find the modified duration estimate of the new price at 0%, 3.1735%, and 8%. Here is a sample graph for a 20-yr, 5% T-bond with a current yield of 7%.
[DOC File]Review Questions
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Assume that current interest rates on government securities are as follows: one-year rate, 5 percent; two-year rate, 6 percent; three-year rate, 6.5 percent; four-year rate, 7 percent. Graph the yield curve. Given the yield curve in question 15, what is the expected direction of future one-year rates?
[DOC File]Answers to Text Discussion Questions
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The current yield does not consider the length of time to maturity. A dollar received this year is worth more than dollars received in future years. ... It is sometimes called a yield curve because yields on existing securities, having maturities anywhere from three months to 30 years, are plotted on a graph to develop the curve. 9.
[DOC File]Use the three tables below to answer the following questions
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Draw your yield curve graph here. g)(10 points) We are now going to add a third yield curve to your diagram, one that holds the term premium constant at its level at 6/30/04 = 1.33 (see graphic) We can see that the term premium fell to .17 on Dec. 30, 2006.
[DOC File]BOND TECHNIQUES
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The coupons are paid annually on 4/15 and the current market 'clean’ quote is 102 1/2% of par. Assume today is 4/15/99 for #1 through #4. There is a principle value …
[DOC File]Internet Electronic Journal of
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Bond managers typically prefer bonds with a high level of convexity. This can be demonstrated by the graph below The two graphs above show the current price/yield relationship between bonds A and B. At a yield of 6.0%, the two bonds have the same duration since a small change in yield brings about the same proportionate change in the bond price.
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