Question
The table below gives the prices of the NSC 4.4s of 04/14/2121 at an initial term structure of par rates and at two shifted levels
The table below gives the prices of the NSC 4.4s of 04/14/2121 at an initial term structure of par rates and at two shifted levels of par rates.
Estimate the duration of the bond from the data given.
Bond: NSC 4.4s of 4/2121 -5 basis points: 107.6916 Initial rates: 106.4247 +5 basis points: 104.9865
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Money Talks Explaining How Money Really Works
Authors: Nina Bandelj ,Frederick F. Wherry ,Viviana A. Zelizer
1st Edition
0691202893, 978-0691202891
