Question

Compute the Macaulay duration under the following conditions:
a. A bond with a four-year term to maturity, a 10 percent coupon (annual payments), and a market yield of 8 percent.
b. A bond with a four-year term to maturity, a 10 percent coupon (annual payments), and a market yield of 12 percent.
c. Compare your answers to Parts a and b. Assuming it was an immediate shift in yields, discuss the implications of this for classical immunization.



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  • CreatedDecember 17, 2014
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