A bond has a modified duration of 4.1 years and trades at 101.80. There is a call
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Question:
A bond has a modified duration of 4.1 years and trades at 101.80. There is a call option on the bond with a strike price of 102.5.
What change in interest rates is required to make the call option just at the money?
You purchased a bond at par and now it trades at 101.00. The yield to maturity has decreased 31 bp since you bought the bond.
What was its modified duration when you bought it?
Related Book For
Financial Institutions Management A Risk Management Approach
ISBN: 978-0071051590
8th edition
Authors: Marcia Cornett, Patricia McGraw, Anthony Saunders
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