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.
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.
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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Question
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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