fixed income: Yields and Prices. Interest-Rate Risk Management

(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?ATTACHMENTS

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fixed income: Yields and Prices. Interest-Rate Risk Management

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