Annual Coupon Coupon Payment Frequency Interest Payment Dates Maturity Date Day Count Convention Annual Yield-to-Maturity 5% Semiannual 30 December and 30 June 30 December 2020 30/360 6% What is the bond's approximate modified duration assuming a 10 bp change in its annual yield-to- maturity? Remember to annualize your answer and round to three decimal places.
Annual Coupon Coupon Payment Frequency Interest Payment Dates Maturity Date Day Count Convention Annual Yield-to-Maturity 5% Semiannual 30 December and 30 June 30 December 2020 30/360 6% What is the bond's approximate modified duration assuming a 10 bp change in its annual yield-to- maturity? Remember to annualize your answer and round to three decimal places.
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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Transcribed Image Text:Consider a bond with the following features and a hypothetical settlement date of 10 October 2019.
Annual Coupon
Coupon Payment Frequency
Interest Payment Dates
Maturity Date
Day Count Convention
Annual Yield-to-Maturity
5%
Semiannual
30 December and 30 June
30 December 2020
30/360
6%
What is the bond's approximate modified duration assuming a 10 bp change in its annual yield-to-
maturity? Remember to annualize your answer and round to three decimal places.
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