Calculate the Macaulay duration of an 8 percent, $1,000 par bond that matures in three years if

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Calculate the Macaulay duration of an 8 percent, $1,000 par bond that matures in three years if the bond’s YTM is 10 percent and interest is paid semiannually.

a. Calculate this bond’s modified duration.

b. Assuming the bond’s YTM goes from 10 percent to 9.5 percent, calculate an estimate of the price change.

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Investment Analysis and Portfolio Management

ISBN: 978-0538482387

10th Edition

Authors: Frank K. Reilly, Keith C. Brown

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Question Posted: Dec 17, 2014 10:44 AM

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Calculate the Macaulay duration of an 8 percent, $1,000 par bond that matures in three years if

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1 2 3 4 5 6 Cash PV PV PV as Period Flow at 5 of Flow of Price 1 x 5 1 40 9524 3810 04014 04014 2 40 ...View the full answer

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