Cnbspestimate the 2-year 5-year and10-year key rate


C. Estimate the 2-year, 5-year, and10-year key rate durations of a 20-year bond carrying a coupon of 12.3 percent on face value $100 paid semi-annually. The given term structure starts with 7.6 percent spot rate of interest at time zero and rises at a rate of 0.002 (.2%) per half year thereafter. Take a 20 basis point (.002) move in each key interest rate to calculate the key rate durations by the method done in class and given in textbook. Report answers for the following:

35. Current fair price of the bond with the given term structure.

36. Price change needed to calculate 2-year key rate duration.

37. Price change needed to calculate 5-year key rate duration.

38. Price change needed to calculate 10-year key rate duration.

39. 2-year key rate duration.

40. 5-year key rate duration.

41. 10-year key rate duration.

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English: Cnbspestimate the 2-year 5-year and10-year key rate
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