Question
Bond analysis and Portfolio Management Strategies Macaulay duration, Modified Duration, and Duration-adjusted price change Assume a five-year bond with a face value of $100 that
Bond analysis and Portfolio Management Strategies
Macaulay duration, Modified Duration, and Duration-adjusted price change
Assume a five-year bond with a face value of $100 that pays a 6% coupon (annual coupon payment) with a yield to maturity (YTM) of 8%. Calculate:
a)Macaulay duration and discuss your result.
b)Modified duration and discuss your result.
c)Duration-adjusted price change, if YTM decreases from 8% to 6%, and discuss your result.
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Contemporary Financial Management
Authors: James R Mcguigan, R Charles Moyer, William J Kretlow
10th Edition
978-0324289114, 0324289111
