Calculate the Macauly and modified durations

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Reference no: EM132844817

Question -

1) Consider a $100 par value bond that has an 8% coupon rate, pays a semi-annual coupon, matures 2 years from today, and is priced to yield 6%. Calculate the Macauly and modified durations as a present value-weighted average of the time to maturity.

2) For the bond above, calculate the dollar duration and the price value of a basis point.

3) For the bond above, estimate the percent and dollar price changes associated with a 0.5% increase in yield.

Reference no: EM132844817

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