Question
Assume the term structure of interest rates is flat and the market interest rate is r = 10% per year, annually compounded. (a) What are
Assume the term structure of interest rates is flat and the market interest rate is r = 10% per year, annually compounded.
(a) What are the Macaulay duration and modified duration of an annual coupon bond with a coupon rate of 5%/year, and a maturity of 10 years?
b) What is the Macaulay duration of a perpetuity that pays $10/year?
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Finance Applications And Theory
Authors: Marcia Cornett, Troy Adair, John Nofsinger
2nd Edition
0073530670, 9780073530673
