Question
Consider a bond with the following features and a hypothetical settlement date of 20 November 2020. Annual Coupon 6% Coupon Payment Frequency Semiannual Interest Payment
Consider a bond with the following features and a hypothetical settlement date of 20 November 2020.
| Annual Coupon | 6% |
| Coupon Payment Frequency | Semiannual |
| Interest Payment Dates | 30 December and 30 June |
| Maturity Date | 30 December 2021 |
| Day-Count Convention | 30/360 |
| Annual Yield-to-Maturity | 7% |
What is the bond's approximate modified duration assuming a 10 bp change in its annual yield-to-maturity? Remember to annualize your answer and round your answer to three decimal places.
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Financial Planning & Analysis And Performance Management
Authors: Jack Alexander
1st Edition
1119491487, 9781119491484
