Solution-Calculate the dollar price change

Calculate the dollar price change

Reference no: EM133070712

Problem:

Face value	$100,000
Maturity	2 years
Coupon	8%, paid semi-annually
Yield to maturity	6%
Price	103,717.10
Macaulay duration	1.889 years.
Convexity	17.47

Calculate the dollar price change for this bond assuming its yield to maturity increased by 10 basis points (i.e. from 6% to 6.1%). Identify:

Modified duration
Modified duration effect (price change calculated using duration formula)
Convexity effect (price change due to convexity)

[Remember to quote "Formula number #" and show your workings by typing in the variable/number that matches the formula]

Reference no: EM133070712

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Calculate the dollar price change

Reference no: EM133070712

Reference no: EM133070712

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