Question
Consider a 8% annual coupon paying bond with 4 years to maturity currently priced at par (YTM = 8%). If the YTM increases/decreases by annualized
Consider a 8% annual coupon paying bond with 4 years to maturity currently priced at par (YTM = 8%). If the YTM increases/decreases by annualized 10 bps, the price decreases/raises to 99.5 and 100.75, respectively. What is its (approximate) modified duration? What is its (approximate) Macaulay duration? What is its (approximate) convexity?
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Practical financial management
Authors: William r. Lasher
5th Edition
0324422636, 978-0324422634
