Question
Using the Bloomberg YAS screen below, answer the following questions. (1) Compute the Macaulay duration using the modified duration. (2) What is the DV01 of
Using the Bloomberg YAS screen below, answer the following questions.
(1) Compute the Macaulay duration using the modified duration.
(2) What is the DV01 of the bond for $1,000 par value?
(3) What is the approximate dollar price change for a 50-basis-point decrease in yields for $1,000 par value? You can use the modified duration only.
(4) What is the approximate percentage change in price for a 50-basis-point increase in yields for $1,000 par value? You can use the modified duration only.
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Economics Of Money Banking And Financial Markets
Authors: Frederic S. Mishkin
6th Edition
0321113624, 978-0321113627
