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What is the duration of a two-year maturity, $1,000 Treasury bond with a 3 percent annual coupon (interest) rate, paid annually with a YTM of
What is the duration of a two-year maturity, $1,000 Treasury bond with a 3 percent
annual coupon (interest) rate, paid annually with a YTM of 2.30 percent? Assume that
interest is paid annually.
US Treasury rates may be found at:
https://www.treasury.gov/resource-center/data-chart-center/interest-rates/pages/textview.aspx?data=yield
Two-year Treasury Bond
Par value = Coupon = YTM = Maturity = annual payments
$1,000 0.0300 0.0230 2
Time Cash Flow PVIF PV of CF PV*CF*V
- $________ .9775 $________ $_________
- $________ .9555 $_________ $_________
Price = $________ $__________
Duration =___________/ Price = _________ year
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