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1. An investor buys a three-year bond with a 5% coupon rate, paid annually, priced at a yield-to- maturity of 3%. What is the Macaulay
1. An investor buys a three-year bond with a 5% coupon rate, paid annually, priced at a yield-to- maturity of 3%. What is the Macaulay duration of the bond? A.What is the modified duration of the bond above? B. Assuming a 5bps change in yield-to-maturity, what is the bonds approximate modified duration? C. Estimate the % price change of the bond in question 1 if you expect interest rates to rise by 100bps.
1. An investor buys a three-year bond with a 5% coupon rate, paid annually, priced at a yield-to-
maturity of 3%. What is the Macaulay duration of the bond?
A.What is the modified duration of the bond above?
B. Assuming a 5bps change in yield-to-maturity, what is the bonds approximate modified duration?
C. Estimate the % price change of the bond in question 1 if you expect interest rates to rise by 100bps.
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Managerial Finance
Authors: Alan Parkinson
1st Edition
0750618264, 978-0750618267
