Suppose we have a 10-year zero-coupon bond that is risk free, has a par value of $1000,

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Suppose we have a 10-year zero-coupon bond that is risk free, has a par value of $1000, and is priced to yield 10%. What is its duration and how well will duration predict price changes if the yield moves up or down by 500 b.p.s?

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Contemporary Financial Intermediation

ISBN: 9780124052086

4th Edition

Authors: Stuart I. Greenbaum, Anjan V. Thakor, Arnoud Boot

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Question Posted: Jan 12, 2024 04:00 AM

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Suppose we have a 10-year zero-coupon bond that is risk free, has a par value of $1000,

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Note that because this is a zerocoupon bond thus maturity duration so the duration here is 10 years ...View the full answer

Contemporary Financial Intermediation

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