A life insurance company holds a USD10 million (par value) position in a 5.95% Dominican Republic bond

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A life insurance company holds a USD10 million (par value) position in a 5.95% Dominican Republic bond that matures on 25 January 2027. The bond is priced (flat) at 101.996 per 100 of par value to yield 5.6511% on a street-convention semiannual bond basis for settlement on 24 July 2018. The total market value of the position, including accrued interest, is USD10,495,447, or 101.95447 per 100 of par value. The bond’s (annual) Macaulay duration is 6.622.


Calculate the money duration per 100 in par value for the sovereign bond.

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Related Book For  answer-question

Fixed Income Analysis

ISBN: 9781119850540

5th Edition

Authors: Barbara S. Petitt

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