Calculate the modified duration?IssuePriceYield to maturityUS Treasury bond 15 4/5% maturing 3 July, 2030100015.8%US Treasury long bond futures contract(contract expiration in 8 months)6515.9%Busco bond 16 11/20% maturing 3 July, 2025 (sinking fund debenture, rated AAA)9517.55%One US Treasury bonds futures contract is a claim on $ 1,000,000 par value long-term US Treasury bonds.

Modified duration is calculated on the bonds that measure the risk of security with respect to the…

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Financial Accounting: The Impact on Decision Makers

10th Edition

ISBN:9781305654174

Author:Gary A. Porter, Curtis L. Norton

Publisher:Gary A. Porter, Curtis L. Norton

Chapter10: Long-term Liabilities

Section: Chapter Questions

Problem 10.3E: Issue Price The following terms relate to independent bond issues: 500 bonds; $1,000 face value; 8%...

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Calculate the modified duration?

Issue	Price	Yield to maturity
US Treasury bond 15 4/5% maturing 3 July, 2030	1000	15.8%
US Treasury long bond futures contract (contract expiration in 8 months)	65	15.9%
Busco bond 16 11/20% maturing 3 July, 2025 (sinking fund debenture, rated AAA)	95	17.55%

One US Treasury bonds futures contract is a claim on $ 1,000,000 par value long-term US Treasury bonds.

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