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DFI 602: Investments and Portfolio Management Assignment One Due 1 April 2022 at 12:00pm A bond is trading at a price of 70.357 with a

DFI 602: Investments and Portfolio Management

Assignment One Due 1 April 2022 at 12:00pm

A bond is trading at a price of 70.357 with a yield of 9%. If the yield increases by 10 bp, the price of the bond will decrease to 69.6164. If the yield decreases by 10 bp, the price will increase to 71.1105. Required Calculate the approximated modified duration of this bond? What does modified duration measure?

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