Elle purchased a 6% coupon rate Commonwealth Government Securities (CGS), which mature in 2022 June. Assume the face value is 100, and yield to maturity (YTM) is 5% P.A.

Elle purchased Commonwealth Government Securities (CGS) paying 6% coupon, which mature in 2022 June. The face value is 100, and YTM is 5% P.A.

Assume that after 15th of June 2021, a similar one-year on the run CGS yield decreases by 2%, coupon rate is still 6%, calculate the modified duration for such CGS.