1. Yields and Prices.
- (a) Define the following yield concepts:
• Redemption yield
• Par yield
• Yield to put
• Yield to worst
- (b) Can a zero and an otherwise identical, maturity-matched level-coupon bond ever have
the same duration?
- (c) A 3M T-bill currently sells for 98:08 (what does this quotation mean?). Calculate its
bond equivalent yield.
- (d) Calculate the discount yield of the preceding 3M T-bill currently selling for 98:08.
- (e) What does convexity measure and how is it used in the assessment of interest rate risk?
other questions in files.