Question
Given the following information of a treasury bond: Maturity (year): 15 Coupon Rate (Annual payment): 5% YTM: 10% Compute Macaulays duration and modified duration. Suppose
| Given the following information of a treasury bond:
|
| Maturity (year): 15 |
| Coupon Rate (Annual payment): 5% |
| YTM: 10% |
| Compute Macaulays duration and modified duration. |
| Suppose YTM increases to 11.00%. |
| What is the duration implied price change P? |
| What is the actual price change? |
| Suppose you know the convexity of the bond is 130.53. |
| What is the price change implied by the duration and convexity? |
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International financial management
Authors: Jeff Madura
9th Edition
978-0324593495, 324568207, 324568193, 032459349X, 9780324568202, 9780324568196, 978-0324593471
