ABC Bank has a AAA-rated, 15-year zero-coupon bond with a face value of $400 million. Theе.yield to maturity (YTM) on the bond is currently 9.5 percenti)What is the modified duration of this bond?ii)What is the price volatility if the potential adverse move (change) in yield is 25 basispoints?

Modified Duration of Zero coupon Bond = (Macaulay duration of bond) /( 1+ Yield) Macaulay duration…

ABC Bank has a AAA-rated, 15-year zero-coupon bond with a face value of $400 million. The yield to maturity (YTM) on the bond is currently 9.5 lis percent i) What is the modified duration of this bond? ii) What is the price volatility if the potential adverse move (change) in yield is 25 basis points?

ABC Bank has a AAA-rated, 15-year zero-coupon bond with a face value of $400 million. The yield to maturity (YTM) on the bond is currently 9.5 lis percent i) What is the modified duration of this bond? ii) What is the price volatility if the potential adverse move (change) in yield is 25 basis points?

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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