Use the following information to answer questions 1-3 A two-year corporate bond paying 6% interest...
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Use the following information to answer questions 1-3 A two-year corporate bond paying 6% interest annually is currently selling at par. The principal of $20,000,000 is due at the end of two years. Historically, daily yields on bonds with similar risk characteristics change by 20 basis points. 1. What is the duration of this bond? A. 2 years. B. 1.91 years. C. 1.94 years. D. 1.49 years. E. 1.75 years. 2. What is the bond's DEAR using duration rounded to 2 decimal points? (round to the nearest dollar) A. $72,075. B. $66,038 C. $56,226 D. $75,472 E. $73,208 What is the 5-day VAR for this bond using DEAR rounded to the nearest dollar? (round to the nearest dollar) 3. A. $168,761 B. $163,698 C. $161,165 D. $125,725 E. $147665
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