a) A 7% semi-annual coupon bond settles 12/11/15 at 105.00 (clean price). Bond maturity is 12/31/25. Assuming a 30/360-day count convention, calculate modified duration (using the dirty price).

• 7.019
• 7.069
• 3.567
• 3.564
• 3.534

b)

A 7% semi-annual coupon bond settles 12/11/15 at 105.00 (clean price). Bond maturity is 12/31/25. For a 300 basis points increase in yield, assuming a 30/360-day count convention, what is the new (dirty) price predicted by using modified duration?

• 86.72
• 86.44
• 85.36
• 82.53
• 85.60