Using a discrete time model (t = 0, 1, 2, 3, ..., T), compute the yield, duration and modified duration of the following two bonds.

If you want to hedge 1 unit of bond A with n units of bond B, what is the duration hedge ratio?

Name dollar coupon maturity face value price at time 0 A 4 4 100 P= 100 B 0 5 100 B = 86.26 = Name dollar coupon maturity face value price at time 0 A 4 4 100 P= 100 B 0 5 100 B = 86.26 =