Question
A 8% annual payment bond has 2 years remaining to the maturity and is purchased at the coupon paying date. The face value is $1000.
A 8% annual payment bond has 2 years remaining to the maturity and is purchased at the coupon paying date. The face value is $1000. The YTM is 10%. What is its Macaulay duration? What is its modified duration? (show calculations)
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A First Course in Quantitative Finance
Authors: Thomas Mazzoni
1st edition
9781108411431, 978-1108419574
