2.

Lydia just purchased a Treasury bond for $111.059 at a yield rate of j₂=5.79% p.a. The duration of Lydia's bond is 8.8105 years. Using the bond price sensitivity formula, calculate the change in price of Lydia's bond that would result from an increase in the yield rate (j₂) of 8 basis points. Round your answer to four decimal places.

(The values below are all in dollars.)

a.

-0.3700

b.

-0.7608

c.

-0.3804

d.

-0.7399