Question
A bank holds a large position in a 7.00% annual coupon payment corporate bond that matures on 15April 2029. The bond's yield-to-maturity is 6.8% for
A bank holds a large position in a 7.00% annual coupon payment corporate bond that matures on 15April 2029. The bond's yield-to-maturity is 6.8% for settlement on 26June 2014, stated as an effective annual rate. Use the 30/360 method of counting days
a. Calculate the full price of the bond per 100 of par value
.b .Calculate the modified duration and approximate modified duration using a 0.01% increase and decrease in the YTM
.c. Calculate the estimated percentage price change using only the modified duration and using a 100 bp (1%) increase in the YTM.
please provide full work with formulas
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