Coupon Rate Maturity Date Yield to Maturity June 2020 Price end of June 2020 Yield...
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Coupon Rate Maturity Date Yield to Maturity June 2020 Price end of June 2020 Yield to Maturity Dec 2020 Price end of Dec 2020
Bond 1 5.75% 15/05/21 0.24% $105.48 0.03% $102.90
Bond 2 5.75% 15/07/22 0.25% $114.08 0.04% $111.69
Bond 3 5.50% 21/04/23 0.25% $115.93 0.09% $113.65
Bond 4 2.75% 21/04/24 0.31% $109.75 0.10% $109.30
Calculate the dirty price, clean price, modified duration and modified convexity of the bonds at the end of June 2020 and the end of December 2020. Discuss your results.
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