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Consider a bond that has a coupon of 8% paid annually and has a maturity of 5 years. The bond is currently selling for $1,047.34,
- Consider a bond that has a coupon of 8% paid annually and has a maturity of 5 years. The bond is currently selling for $1,047.34, which means its YTM is 6.85%.
- Compute its duration.
- If interest rate (YTM) is expected to increase by 75 basis points, what is the expected dollar change in price? Percentage change in price?
- Using duration to obtain approximate answers for question (b).
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The VAR Implementation Handbook
Authors: Greg Gregoriou
1st Edition
007161513X, 978-0071615136
