A bond currently has a price of $1,050 and is selling to yield 5%. If the...
A bond currently has a price of $1,050 and is selling to yield 5%. If the yield increases 23bps, the price of the bond will go down to $1,023. This implies that the:
a) Bond's Modified Duration =
b) Bond's Duration =
Homework Answers
Modified Duration=-% change in bond price/change in yield=-(1023/1050-1)/(0.23%)=11.18012
Duration=11.18012*(1+5%)=11.73913
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