Question
There is a 3-year annual coupon bond (face value = $100) with coupon rate at 5% and the market price of the bond is $100.
There is a 3-year annual coupon bond (face value = $100) with coupon rate at 5% and the market price of the bond is $100.
a)Use the approximation formula to show the yield to maturity of the bond is about 5%.
b)Calculate the Macaulays duration and Modified duration
c)Calculate the Convexity
e)With a 1% fall in yield-to-maturity, by what percent will the bond price change?
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Gold And Debt
Authors: William Lyman Fawcett
1st Edition
1144211727, 978-1144211729
