Question
A bond is currently priced at 89.187 per 100 par value. If yields increase by 10bp, the value of the bond falls to 88.215. However,
A bond is currently priced at 89.187 per 100 par value. If yields increase by 10bp, the value of the bond falls to 88.215. However, if yields decrease by the same amount the value of the bond rises to 90.237. The approximate modified duration for the bond is closest to
: A. 10.51.
B. 11.33.
C. 12.67.
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The Analysis And Use Of Financial Statements
Authors: Gerald I. White, Ashwinpaul C. Sondhi, Haim D. Fried
3rd Edition
0471375942, 978-0471375944
