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A bond has following characteristics: it was issued on 06.2016 and has 10 years to maturity. Coupon is paid semi-annually and carries interest rate of

  1. A bond has following characteristics: it was issued on 06.2016 and has 10 years to maturity. Coupon is paid semi-annually and carries interest rate of 2,2%. Market interest rate is currently 2,9% for similar issues. Investor purchased the bond on 1.11.2020.
    1. Calculate MacDuration
    2. Calculate ModDuration
    3. When market interest rates increase by 25 basis points, calculate price effect using results obtained in question (b)

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