Question
Consider a 3-year 8% semiannual coupon bond. The YTM of this bond is 6%. Compute the following a) Macaulay Duration (use Mac Duration = b)
Consider a 3-year 8% semiannual coupon bond. The YTM of this bond is 6%. Compute the following
a) Macaulay Duration (use Mac Duration =
b) Modified Duration
c) Effective duration (assume a 50 BP change of Yield)
d) Convexity Factor (use
e) Effective Convexity Factor (assume a 50 BP change of Yield)
PLEASE ANSWER ALL PARTS
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Introduction To Finance Markets, Investments, And Financial Management
Authors: Ronald W Melicher, Edgar Norton
13th Edition
0470128925, 9780470128923
