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Eurobonds pay coupons annually. Suppose a Eurobond matures in six years, the annual coupon is 8%, the face value...

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Eurobonds pay coupons annually. Suppose a Eurobond matures in six years, the annual coupon is 8%, the face 

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Eurobonds pay coupons annually. Suppose a Eurobond matures in six years, the annual coupon is 8%, the face value of the bond is $1000, and the current yield to maturity is 8%. a) Calculate the duration (round to three decimals). b) Calculate the modified duration (round to three decimals). c) Suppose that yields rise by 1 basis point from 8.00% to 8.01%. Calculate the predicted percentage change and dollar change in the bond price based on its duration.

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To calculate the duration and modified duration of a bond you can use the following formulas a Duration Duration measures the weighted average time it View the full answer


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Fundamentals of Financial Management

Fundamentals of Financial Management

ISBN: 978-0324664553

Concise 6th Edition

Authors: Eugene F. Brigham, Joel F. Houston

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Question Details
Chapter # 7
Section: Problems
Problem: 20
Posted Date: September 23, 2023 09:34:55
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