Question
Assume today is 15th December 2005. Coupons are paid semi-annually, in March and September. The following rates/prices are available. Instrument Coupon Rate/Price DB07 5.75% 5.70%
Assume today is 15th December 2005. Coupons are paid semi-annually, in March and September. The following rates/prices are available.
| Instrument | Coupon | Rate/Price |
| DB07 | 5.75% | 5.70% |
| IRSDB07 | 5.75% | 6.10% |
| FUT3YR | 6.00% | 94.5 |
Required:
a. [4 marks] Assume a face value of $1mil, calculate todays modified duration of DB07. Clearly show all your workings. Without correct workings, even if the final answer was correct, no marks would be allocated.
b. [3 marks] Assume a face value of $1mil, calculate todays modified duration of IRSDBDB07. Clearly show all your workings. Without correct workings, even if the final answer was correct, no marks would be allocated.
c. [5 marks] Assume a face value of $1mil, calculate todays modified duration of FUT3YR. Clearly show all your workings. Without correct workings, even if the final answer was correct, no marks would be allocated.
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What Is Value Investing
Authors: Lawrence A. Cunningham
1st Edition
0071429557, 978-0071429559
