Question
A discount (zero coupon) bond with a principal of 100 has a maturity of 6 years. The term structure of interest rates is flat with
A discount (zero coupon) bond with a principal of 100 has a maturity of 6 years. The term structure of interest rates is flat with a (continuously compounded) interest rate of 5%. Determine the duration of the bond.
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SOLUTION The duration of a bond is a measure of the bonds price sensitivity to changes in interest r...
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Investments
Authors: Zvi Bodie, Alex Kane, Alan J. Marcus
9th Edition
73530700, 978-0073530703
