Consider the following two bonds which make semiannual coupon payments: a 20 year bond with a 6%

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Consider the following two bonds which make semiannual coupon payments: a 20 year bond with a 6% coupon and 20% yield, and a 30-year bond with a 6% coupon and a 20% yield.
a. For each bond, compute the price value of a basis point.
b. For each bond, compute Macaulay duration.
c. "For otherwise identical bonds, Macaulay duration is increasing in time to maturity." Is this statement always true? Discuss. Discuss. Coupon
A coupon or coupon payment is the annual interest rate paid on a bond, expressed as a percentage of the face value and paid from issue date until maturity. Coupons are usually referred to in terms of the coupon rate (the sum of coupons paid in a...
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Derivatives Markets

ISBN: 978-0321543080

4th edition

Authors: Rober L. Macdonald

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