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Modified Duration: the percentage change in Price of a Bond for a unit change in yield Macaulay duration Macauley Duration 1. Modified Duration 1+ (YTM/n) Macaulay duration / (1+(YTM/n)) 1+ YTM (where n= number of coupons/yr) Modified duration Price change: Interest rate change: +100 bps +50 bps -50 bps -100 bps MD 1.00% MD 0.50% MD -0.50% MD -1.00% Assignment #1- Macaulay Duration Calculate the Macaulay Duration Where ttime period C- cuupon nx M (1+9) (1+9) y= yield mer ot prods Mmaturity va ue Current Bond Price Period CF discount PV PVn Example: Price: $1000 3 Counon: i-rate (y): yrs to maturity (n): eyrs maturity (M): 4. 9% 6. $1000 sum 1000 current price 1000 Macaulay duration Modified Duration: the percentage change in Price of a Bond for a unit change in yield Macaulay duration Macauley Duration 1. Modified Duration 1+ (YTM/n) Macaulay duration / (1+(YTM/n)) 1+ YTM (where n= number of coupons/yr) Modified duration Price change: Interest rate change: +100 bps +50 bps -50 bps -100 bps MD 1.00% MD 0.50% MD -0.50% MD -1.00% Assignment #1- Macaulay Duration Calculate the Macaulay Duration Where ttime period C- cuupon nx M (1+9) (1+9) y= yield mer ot prods Mmaturity va ue Current Bond Price Period CF discount PV PVn Example: Price: $1000 3 Counon: i-rate (y): yrs to maturity (n): eyrs maturity (M): 4. 9% 6. $1000 sum 1000 current price 1000 Macaulay duration
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Answer A B D F G K 1 Solution Periodn 40 2 CF Discount PV PVn 3 Price 4 Co... View the full answer
Related Book For
Statistical Reasoning for Everyday Life
ISBN: 978-0321817624
4th edition
Authors: Jeff Bennett, Bill Briggs, Mario F. Triola
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