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What is macaulay duration

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1. A 5-year zero coupon bond is yielding 5%. What are the zero's DV01, duration and Macaulay duration?

2. For an interest rate swap valued at $1.5 for $100 par with yields flat at 5%, its price becomes $1.6 if the yields change to 5.1%. What is the swap's DV01?

3. Consider a 1-year Treasury 10s priced at par. What is its Macaulay duration?

4. Two Treasury notes, 10-year 6s and 10-year 5s, have the same modified duration. Can you tell which one has higher yield and why?

5. A bond trader has two bonds in her portfolio; with market value 20 million and 30 million and duration 2.5 and 10 respectively. What is the duration of the portfolio of long in both the 2.5 and the 10? How much does the value of portfolio change if interest rate goes down by 1 basis point?

 

Reference no: EM132919511

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