medium · CFA Level I fixed-income
A fixed-income desk at Vesper Foods needs to price a non-traded 4-year, 5% annual coupon bond. They observe two comparable traded bonds: beginitemize item Bond X: 3-year, 4% coupon, priced at 98.50 (YTM = 4.55%) item Bond Y: 5-year, 6% coupon, priced at 102.20 (YTM = 5.49%) enditemize Using linear interpolation for matrix pricing, the estimated YTM for the non-traded bond is:
- 5.00%
- 5.50%
- 5.02%
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More CFA Level I fixed-income practice
- Macaulay duration is measured in units of ________, while modified duration is measured in
- If the yield is 0%, what is its modified duration?
- In the calculation of Macaulay duration, the weights (w_t) applied to each time period t s
- The modified duration is closest to:
- For a Vesper Foods bond with a modified duration of 4.5, a 20 basis point increase in yiel
- A bond's price increases more when yields fall by 100 bps th… — This property is known as:
- Which of the following is synonymous with the 'dirty price' of a Vesper Foods bond?
- Its modified duration is closest to: