Suppose we have a 10-year zero-coupon bond that is risk free, has a par value of $1000,
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Suppose we have a 10-year zero-coupon bond that is risk free, has a par value of $1000, and is priced to yield 10%. What is its duration and how well will duration predict price changes if the yield moves up or down by 500 b.p.s?
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Note that because this is a zerocoupon bond thus maturity duration so the duration here is 10 years ...View the full answer
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Related Book For
Contemporary Financial Intermediation
ISBN: 9780124052086
4th Edition
Authors: Stuart I. Greenbaum, Anjan V. Thakor, Arnoud Boot
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