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Assume that the 3.95% US Treasury bond that matures on 15 August 2041 is priced to yield 5.14% for settlement on 15 November 2014. Coupons
- Assume that the 3.95% US Treasury bond that matures on 15 August 2041 is priced to yield 5.14% for settlement on 15 November 2014. Coupons are paid semiannually on 15 February and 15 August. The yield-to-maturity is stated on a street-convention semiannual bond basis.
- Using the formula showing all calculations, calculate the full price of the US Treasury if the yield is 5.14%?
- Compute the approximate modified duration and the approximate Macaulay duration for this Treasury bond assuming a 5 bp change in the yield-to-maturity. Show all the necessary calculations using appropriate formulas.
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The Pillars Of Finance The Misalignment Of Finance Theory And Investment Practice
Authors: G. Fraser-Sampson
2014th Edition
1137264055, 978-1137264053
