Question

Answer the following.
a. What is the duration of a 20-year 8 percent coupon (paid semiannually) Treasury bond (deliverable against the Treasury bond futures contract) selling at par?
b. What is the predicted impact on the Treasury bond price based on its duration if interest rates increase 50 basis points annually (25 basis points semiannually)?
c. What is the meaning of the following Treasury bond futures price quote: 101-130?



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  • CreatedJanuary 27, 2015
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