Compute the modified duration of the following bond: Bond C: $6,500,000 face amount of a par priced
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Question:
Compute the modified duration of the following bond:
Bond C: $6,500,000 face amount of a par priced 5yr bond with an annual coupon of 3.65% paid semiannually
Now assume yields rise by 50bps, Using the duration computed above, you would expect the market value (in dollar terms) of that bond to decline by how much?
Hint: you need to determine each bond's yield if you are to use the =duration() function. Remember this is a par priced bond
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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