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An US bank holds a large position in a 5% annual coupon payment corporate bond that matures on 4 April 2029. The bond's yield-to-maturity is
An US bank holds a large position in a 5% annual coupon payment corporate bond that matures on 4 April 2029. The bond's yield-to-maturity is 5% for settlement on 27 June 2019, stated as effective annual rate. That settlement date is 83 days into 360-day year using 30/360 method of counting days.
a) Calculate the full price of the bond per 100 of par value.
b) Calculate the approximate modified duration using a 0.01% increase and decrease in the YTM.
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