Consider a 4% coupon, 10-year Treasury notewhose full price 103.3521 and is yielding3.62%. The dollar value of a 1 basis pointchange in yield is 0.08421. What is the dollarduration for a 100-basis point change inyield?

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Answered: Consider a 4% coupon, 10-year Treasury…

Consider a 4% coupon, 10-year Treasury note whose full price 103.3521 and is yielding 3.62%. The dollar value of a 1 basis point

FINANCIAL ACCOUNTING

10th Edition

ISBN:9781259964947

Author:Libby

Publisher:Libby

Chapter1: Financial Statements And Business Decisions

Section: Chapter Questions

Problem 1Q

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Question

Consider a 4% coupon, 10-year Treasury note
whose full price 103.3521 and is yielding
3.62%. The dollar value of a 1 basis point
change in yield is 0.08421. What is the dollar
duration for a 100-basis point change in
yield?

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