You own a 30-year bond issued by Apple. The yield is 3.75%. 30-year Treasury rates are at

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You own a 30-year bond issued by Apple. The yield is 3.75%. 30-year Treasury rates are at 2.0%. The price is at par (100).

What is its duration? Estimate from the duration what happens to its price if Treasury rates decline by 20 bps, but credit spreads widen by 30 bps?

Related Book For answer-question

Financial Institutions Management A Risk Management Approach

ISBN: 978-0071051590

8th edition

Authors: Marcia Cornett, Patricia McGraw, Anthony Saunders

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Posted Date: May 02, 2023 12:32 AM

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You own a 30-year bond issued by Apple. The yield is 3.75%. 30-year Treasury rates are at

Question:

Expert Answer:

1 Duration To estimate the durationwe can use the Macaulay duration formulawhich considers the timin... View the full answer

Financial Institutions Management A Risk Management Approach

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