Calculate the duration of five year treasury bond

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Reference no: EM131910335

1) Calculate the duration of a five year treasury bond with a 5% annual coupon selling at par.

2) Use duration to find approximate price change if interest rates increase by 15 basis points for the security in part 1.

3) Use the mechanics of bond valulation to calculate the exact price change if interest rates increase by 11 points.

Reference no: EM131910335

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