Let us consider a 1-year T-Note trading at par with a face value of $1,000. The...
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Let us consider a 1-year T-Note trading at par with a face value of $1,000. The annual coupon rate for this T-Note is 4%. Note that this is a T-Note, it will deliver a coupon payment at t = 0.5, and then a coupon payment+face value at t = 1. The question assumes semi-annual compounding. What are the yield-to-maturity, modified duration, and convexity of this bond? Let us consider a 1-year T-Note trading at par with a face value of $1,000. The annual coupon rate for this T-Note is 4%. Note that this is a T-Note, it will deliver a coupon payment at t = 0.5, and then a coupon payment+face value at t = 1. The question assumes semi-annual compounding. What are the yield-to-maturity, modified duration, and convexity of this bond?
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