Consider a 10-year bond with current price of $99 and a duration of 9.3 years. Suppose...
Consider a 10-year bond with current price of $99 and a duration of 9.3 years. Suppose the yield on the bond is 7.4% per year with continuous compounding. What is the change in the price of the bond if the yield increases by 0.2%? (required precision: 0.01 +/- 0.01)
Homework Answers
Change in Price = -Duration * Change in Yield * Current Bond Price
= -9.3 * 0.002 * $99 = $1.84
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