US Gov't Strip (Zero) Bond due May 15, 2029 trading at a YTM of 0.718%. Assume a settlement date of May 22nd, 2020.

Face value = 100$

Calculate the bond's Macaulay Duration, Modified Duration and the Convexity Measure. Note, you must calculate the full market price of the bond to arrive at the duration and convexity figures (do not back out accrued interest).Assume that for the US treasury bonds the actual/actual day count convention applies. For the actual/actual day count convention use the actual days in the 6 month period for the denominator (for example: 181 days).

Answer rating: 100% (QA)

Year to maturity 9 years Macaulay duration of a zero coupon bond is always equlas to its m... View the full answer