Calculate today modified duration

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Reference no: EM133016397

Question - Assume today is 15th December 2005. Coupons are paid semi-annually, in March and September. The following rates/prices are available.

Instrument Coupon Rate/Price

DB07 5.75% 5.70%

IRSDB07 5.75% 6.10%

FUT3YR 6.00% 94.5

Required -

a. Assume a face value of $1mil, calculate today's modified duration of DB07. Clearly show all your workings. Without correct workings, even if the final answer was correct, no marks would be allocated.

b. Assume a face value of $1mil, calculate today's modified duration of IRSDBDB07. Clearly show all your workings. Without correct workings, even if the final answer was correct, no marks would be allocated.

c. Assume a face value of $1mil, calculate today's modified duration of FUT3YR. Clearly show all your workings. Without correct workings, even if the final answer was correct, no marks would be allocated.

Reference no: EM133016397

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