Question

A bond currently sells for $1,010, which gives it a yield to maturity of 4%. Suppose that if the yield increases by 30 basis points, the price of the bond falls to $980. What is the duration of this bond? (Do not round intermediate calculations. Round your answer to 4 decimal places.) Answer is complete but not entirely correct X 9.9010 Duration years

Answer 1

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ke - Microsoft Excel (Product Activation Failed) File Home Insert Page Layout Formulas Data Review View Add-Ins - 2x % Cut Σ AutoSum : A Calibri 11 A A = = = V Wrap Text General Ea Copy Fill Paste B B- I A U SF Merge Merge & Center - Center $ -% % 4:0 .00 . Conditional Format Sort & Cell Find & Format Painter Insert Delete Format Formatting as Table Styles 2 Clear Filter Select Clipboard Font Alignment Number Styles Cells Editing DF144 for A DA DB DC DD DE DEDG DH DI DJ DK DL DM DNDO 128 129 130 131 132 RATE HAS INCREASED, SO PRICE HAS DECREASED 133 CHANGE IN YTM =30 BASIS POINTS = 0.30% =0.0030 134 YTM =4% 135 136 FORMULA = change in price/ Initial price = - Duration x (change in YTM/(1+YTM)) 137 138 (980-1010)/1010 = - Duration x (0.0030/(1+0.04)) 139 -0.029703 - Duration x (0.0030/(1+0.04)) Duration 10.297040 (-0.029703 X 1.04/0.0030] 141 ANSWER Duration 10.2970 142 143 144 145 146 147 148 M convexity DGM betaport future INDEX INTL CAP BUD SANDRINE LEASING PV, FV, ANNUITY DIR right clean YIELD bond portfolio WACC RESI DIV POLICY NAME DIV YIELD I- Red ferences: BB116 BOJ 120% - _ + D E YO ENG 25-11-2019 140