Question
The modified duration of an 11-year, $1,000 Treasury bond paying a 10 percent semi-annual coupon and selling at par has been estimated at 6.8106 years.
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The modified duration of an 11-year, $1,000 Treasury bond paying a 10 percent semi-annual coupon and selling at par has been estimated at 6.8106 years. What will be the estimated price change on the bond if interest rates increase 0.10 percent (10 basis points)
A. $6.811
B. $6.486
C. -$6.486
D. -$6.811
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The Handbook Of Portfolio Mathematics
Authors: Vince
1st Edition
0471757683, 978-0471757689
