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You own a 9 year bond that has a 3% semi-annual coupon, a 6% semi-annual yield to maturity and a modified duration of 7.7. If
You own a 9 year bond that has a 3% semi-annual coupon, a 6% semi-annual yield to maturity and a modified duration of 7.7. If you plan on holding the bond for 3 years, what is your duration gap? Also, which do you think is the larger risk for this bond as a result of interest rate changes, market price risk or coupon reinvestment risk, and why?
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To calculate the duration gap you subtract the time horizon from the modified duration Duration Gap ...
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Financial Analysis with Microsoft Excel
Authors: Timothy R. Mayes, Todd M. Shank
7th edition
1285432274, 978-1305535596, 1305535596, 978-1285432274
