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Problem 10-35 Duration (LO4, CFA6) A Treasury bond that settles on October 18, 2016, ma yield to maturity of 5.64 percent. Wh

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Answer #1

modified duration = Macaulay duration / (1 + ytm/2)

=>11.3694 / (1+ 0.0564 /2)

=>11.3694 / 1.0282

=>11.5758.

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