1. For a T-bond currently priced at $95 for $100 par with yield to maturity 5%, its...
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Question:
1. For a T-bond currently priced at $95 for $100 par with yield to maturity 5%, its price becomes $95.1 if the yield drops to 4.99%. What are the T-bond's DV01, duration and Macaulay duration at 5% yield?
2. Consider a 1.5-year Treasury 10s priced at par. What is its Macaulay duration?
3. A 10-year zero coupon bond is yielding 5%. What are the zero's DV01, duration and Macaulay duration?
4. Two T-bonds have the same Macaulay duration of 5 years and one bond has higher coupon rate than the other. Can the bonds have the same maturity?
Related Book For
Investment Analysis and Portfolio Management
ISBN: 978-0538482387
10th Edition
Authors: Frank K. Reilly, Keith C. Brown
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