A 4 year Treasury Bond with a face value of $900, and an annual coupon rate of
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A 4 year Treasury Bond with a face value of $900, and an annual coupon rate of 4.20% has a yield to maturity of 3.03%. This bond makes 2
(semiannual) coupon payments per year and thus has 8 periods until maturity. What is the duration, modified duration, and convexity of this bond based on the Annual Percentage Rate (APR) convention? What is the duration, modified duration, and convexity of this bond based on the Effective Annual Rate (EAR) convention? What is the intuitive interpretation of duration?
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