Answered step by step
Verified Expert Solution
Question
1 Approved Answer
A bond is currently priced at 130. The price will change to 140 or 122 if the yield is changed by 50bp or .5% on
A bond is currently priced at 130. The price will change to 140 or 122 if the yield is changed by 50bp or .5% on either the upside or on the downside. a) Calculate the modified duration using the two point approach. b) Estimate the dollar price of the bond if interest rate rises by 2%. (if par =1,000)
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started