Class Questions

$1$a$.$ A $4\%$ semi$-$annual$-$pay coupon bond $($$$100$ face value$)$ has ten years to maturity. The bond

is currently trading at $$109\mathrm{.}726($par$).$ Using a $+/-100$ basis point change in yield, what is the

approximate modified duration $($AMD$)$ of the bond? $(2$ decimals$)$

AMD $\_\_\_\_\_\_\_\_\_\_$

$1$b$.$Using the modified duration $($only$)$ of the bond above, what is the estimate of the percentage

change in price using duration only for a yield decrease of $100$ basis points? $(2$ decimals$)?$

What is the actual change?Class Questions

$1$a$.$ A $4\%$ semi$-$annual$-$pay coupon bond $($ $$100$ face value$)$ has ten years to maturity. The bond

is currently trading at $$109\mathrm{.}726($par$).$ Using a $\frac{+}{-}100$ basis point change in yield, what is the

approximate modified duration $($AMD$)$ of the bond? $(2$ decimals$)$

AMD

$1$b$.$Using the modified duration $($only$)$ of the bond above, what is the estimate of the percentage

change in price using duration only for a yield decrease of $100$ basis points? $(2$ decimals$)?$

What is the actual change?

Estimate change$(\%)$

Actual Change$(\%)$

A $8\%$ semi$-$annual$-$pay coupon bond $($ $$100$ face value$)$ has

ten years to maturity. The bond is currently trading at $$109\mathrm{.}726($par$).$ Using a $\frac{+}{-}100$ basis

point change in yield, what is the approximate modified duration $($AMD$)$ of the bond? $(2$

decimals$)$

AMDClass Questions

$1$a$.$ A $4\%$ semi$-$annual$-$pay coupon bond $($ $$100$ face value$)$ has ten years to maturity. The bond

is currently trading at $$109\mathrm{.}726($par$).$ Using a $\frac{+}{-}100$ basis point change in yield, what is the

approximate modified duration $($AMD$)$ of the bond? $(2$ decimals$)$

AMD

$1$b$.$Using the modified duration $($only$)$ of the bond above, what is the estimate of the percentage

change in price using duration only for a yield decrease of $100$ basis points? $(2$ decimals$)?$

What is the actual change?

Estimate change$(\%)$

Actual Change$(\%)$

A $8\%$ semi$-$annual$-$pay coupon bond $($ $$100$ face value$)$ has

ten years to maturity. The bond is currently trading at $$109\mathrm{.}726($par$).$ Using a $\frac{+}{-}100$ basis

point change in yield, what is the approximate modified duration $($AMD$)$ of the bond? $(2$

decimals$)$

AMD