Question
A corporate bond with 12 coupons remaining has a coupon rate of 8% paid semiannually, most recently paid a coupon 96 days ago (the next
A corporate bond with 12 coupons remaining has a coupon rate of 8% paid semiannually, most recently paid a coupon 96 days ago (the next coupon is 84 days away) and has a yield-to-maturity of 5.50%. Assuming a 5 bps change in the yield-to-maturity:
a.What the bond's approximate modified duration?
b. What is the bond's approximate Macaulay duration?
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Fundamentals of Financial Management
Authors: Eugene F. Brigham, Joel F. Houston
15th edition
1337671002, 978-1337395250
