Assume that the 3.75% US Treasury bond that matures on 15 August 2043 is priced to yield 5.14% for settlement on 15 October 2022. Coupons are paid semiannually on 15 February and 15 August. The yield-to-maturity is stated on a street-convention semiannual bond basis. This settlement date is 61 days into a 184-day coupon period, using the actual/actual day-count convention. Compute the approximate modified duration and the approximate Macaulay duration for this Treasury bond assuming a 5 bp change in the yield-to-maturity.
Assume that the 3.75% US Treasury bond that matures on 15 August 2043 is priced to yield 5.14% for settlement on 15 October 2022. Coupons are paid semiannually on 15 February and 15 August. The yield-to-maturity is stated on a street-convention semiannual bond basis. This settlement date is 61 days into a 184-day coupon period, using the actual/actual day-count convention. Compute the approximate modified duration and the approximate Macaulay duration for this Treasury bond assuming a 5 bp change in the yield-to-maturity.
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Transcribed Image Text:7. Assume that the 3.75% US Treasury bond that matures on 15 August 2043 is priced to
yield 5.14% for settlement on 15 October 2022. Coupons are paid semiannually on 15
February and 15 August. The yield-to-maturity is stated on a street-convention
semiannual bond basis. This settlement date is 61 days into a 184-day coupon period,
using the actual/actual day-count convention. Compute the approximate modified
duration and the approximate Macaulay duration for this Treasury bond assuming a 5
bp change in the yield-to-maturity.
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