What is the duration of a three-year 10

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A. What is the duration of a three-year 10% (annual) coupon bond with a par value of K1, 000 and a yield to maturity of 7%? Compute your answer correct to two decimal places.

B. Consider a 2-year coupon bond with a face and redemption value of K100 and a coupon rate of 10% per annum payable semi-annually and a yield to maturity of 12% per annum compounded semi-annually. Find the Macaulay Duration.

C. Consider a bond that has a coupon rate of 5%, five years to maturity, and is currently priced to yield 6%. Calculate the following:

a) Macaulay duration

b) Modified duration

c) Effective duration

d) Percentage change in price for a 1% increase in the yield to maturity

Reference no: EM132503932

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