Question
What is the duration of a two-year bond that pays an annual coupon of 1 percent and has a current yield to maturity of 2
What is the duration of a two-year bond that pays an annual coupon of 1 percent and has a current yield to maturity of 2 percent? Use $1,000 as the face value. Round your calculations/answers to two decimals.
Hint 2: McDUR = PV(cash flows weighted by year of receipt) / PV(cash flows)
| 1.99 years | ||
| 1.97 years | ||
| 1.95 years | ||
| 1.93 years | ||
| 1.91 years |
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Building Financial Models
Authors: John Tjia
2nd Edition
0071608893, 978-0071608893
