Sam has a bond that has a maturity of 28 years, a 17 year duration, and a yield to maturity of 8.57%. The change in the...
Sam has a bond that has a maturity of 28 years, a 17 year duration, and a yield to maturity of 8.57%. The change in the level of the market interest rate is 0.57%. The modified duration is ________ and the percentage change in price is ________.
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28 years; 8.9% |
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10.41 years; -.57% |
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13.17 years; 5.7% |
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15.66 years; -8.9% |
Homework Answers
Modified Duration=Duration/(1+yield to maturity)=17/1.0857=15.65810076 years
% change=-Modified Duration*change in market
rates=-15.65810076*0.57%=-8.925%
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