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Compute the approximate modified duration

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Reference no: EM132735862

Assume that the 3.75% US Treasury bond that matures on 15 August 2041 is priced to yield 5.14% for settlement on 15 October 2014. Coupons are paid semi-annually 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.

Problem 1: Compute the approximate modified duration and the approximate Macaulay duration for this Treasury bond assuming a 5 bp change in the yield-to-maturity.

Reference no: EM132735862

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