Consider three Treasury bonds, each of which has a 10 percent semiannual coupon and trades at par.

Question:

a. Calculate the duration for a bond that has a maturity of four years, three years, and two years.

b. What conclusions can you reach about the relationship between duration and the time to maturity? Plot the relationship.

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Financial Institutions Management A Risk Management Approach

ISBN: 9781266138225

11th International Edition

Authors: Anthony Saunders, Marcia Millon Cornett, Otgo Erhemjamts

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Question Posted: Jun 04, 2024 01:09 AM

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Consider three Treasury bonds, each of which has a 10 percent semiannual coupon and trades at par.

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Financial Institutions Management A Risk Management Approach

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