Calculate the Macaulay duration of an 8 percent, $1,000 par bond that matures in three years if
Question:
Calculate the Macaulay duration of an 8 percent, $1,000 par bond that matures in three years if the bond’s YTM is 10 percent and interest is paid semiannually.
a. Calculate this bond’s modified duration.
b. Assuming the bond’s YTM goes from 10 percent to 9.5 percent, calculate an estimate of the price change.
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1 2 3 4 5 6 Cash PV PV PV as Period Flow at 5 of Flow of Price 1 x 5 1 40 9524 3810 04014 04014 2 40 ...View the full answer
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Related Book For 
Investment Analysis and Portfolio Management
ISBN: 978-0538482387
10th Edition
Authors: Frank K. Reilly, Keith C. Brown
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