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Klausuraufgaben
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e) Welche Effektivverzinsung weist Anleihe B in t-0 auf? Bitte begründen Sie Ihre Antwort. (2 Punkte)Die Effektivverzinsung bei Anleihe B entspricht Ts, d.h. 53 1181% =
f) Bestimmen Sie auf Basis der von Ihnen ermittelten Effektivzinssätze die modifizierte Duration
für die Anleihen A und B. (5 Punkte)
AHl. A:
- Anl. B:
=T 3
D
-
1073 +
1.3 2.3
110181 1,8181
I =D 2,95
+
=
1102172
=
110277
D =
103,07
3,83
=
Jahre
DMod 1,8217.
= D
=3,75 Jahre
g) Welche der drei Anleihen (A, B, oder C) weist bei Änderungen des Marktzinsniveaus die höchste
prozentuale Wertänderung auf und welche die geringste? Bitte begründen Sie kurz Ihre Antworten!
(2 Punkte)
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