Question: Compute the modified duration for the following fixed-rate, non-prepayable mortgage. Using the calculated modified duration, estimate the percentage change in the mortgage value if the

Compute the modified duration for the following fixed-rate, non-prepayable mortgage. Using the calculated modified duration, estimate the percentage change in the mortgage value if the yield to maturity decreases to 11% p.a. from 12% p.a.

Month	0	1	2
Loan Outstanding	100	50	0
Interest payments (12% p.a.)		1	0.5
Principal payments		50	50

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