Question
Assume that the interest rate is 3% for all maturities (flat term structure). Compute the duration and the modified duration of the following bonds: (a)
Assume that the interest rate is 3% for all maturities (flat term structure). Compute the duration and the modified duration of the following bonds:
(a) STRIPS that mature in 7 years with a face value of $1,000,
(b) A 5-year Treasury note with the face value of $100 and the (annually-paid) coupon rate of 3%.
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Fundamentals of Investment Management
Authors: Geoffrey Hirt, Stanley Block
10th edition
0078034620, 978-0078034626
