Question
Calculate the Macaulay duration of a 9%, $1,000 par bond that matures in three years if the bond's YTM is 10% and interest is paid
Calculate the Macaulay duration of a 9%, $1,000 par bond that matures in three years if the bond's YTM is 10% and interest is paid semiannually. You may use Appendix C to answer the questions.
- Calculate this bond's modified duration.
Assuming the bond's YTM goes from 10% to 9.0%, calculate an estimate of the price change.
Step by Step Solution
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Step: 1
To calculate the Macaulay duration and modified duration of the given bond and estimate the price ch...
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Investment Analysis and Portfolio Management
Authors: Frank K. Reilly, Keith C. Brown
10th Edition
538482109, 1133711774, 538482389, 9780538482103, 9781133711773, 978-0538482387
