A bond has been issued in euros with an annual coupon rate of 10%. The previous coupon has just been paid. This bond has a sinking fund provision: Half of the issue is reimbursed in two years and half in three years. You hold €10 million of nominal value of this bond.
a. Write the three future annual cash flows in euros, assuming that the previous coupon has just been paid.
b. The yield curve is currently flat at 9%. What is the value of the bond, its yield-to-maturity, its duration, and its modified duration?
c. How much do you stand to lose if the yield curve moves uniformly from 9% to 9.1% within
one day?

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The Answer of A bond has been issued in euros with an annual coupon rate of 10%. The previous coupon has just been paid. This bond has a sinking fund provision: Half of the issue is reimbursed in two years and half in three years. You hold €10 million of nominal value of this bond.
a. Write the three future annual cash flows in euros, assuming that the previous coupon has just been paid.
b. The yield curve is currently flat at 9%. What is the value of the bond, its yield-to-maturity, its duration, and its modified duration?
c. How much do you stand to lose if the yield curve moves uniformly from 9% to 9.1% within
one day?

A Bond Has Been Issued in Euros with an Annual