Consider a 4% coupon, 10-year Treasury note whose full price 103.3521 and is yielding 3.62%. The dollar
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Consider a 4% coupon, 10-year Treasury note whose full price 103.3521 and is yielding 3.62%. The dollar value of a 1 basis point change in yield is 0.08421. What is the dollar duration for a 100 basis point change in yield?
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Related Book For
Introduction To Fixed Income Analytics
ISBN: 9780470572139
2nd Edition
Authors: Steven V. Mann, Frank J. Fabozzi
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