Suppose a bond with 8.5 years of Macaulay duration and 5.5% of yield to maturity,...
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Accounting
Suppose a bond with 8.5 years of Macaulay duration and 5.5% of yield to maturity, is currently traded at $1,200. If you expect the bond's yield to maturity to decline by 25 basis points or 0.25%. This bond coupon is semi-annually paid.
Identify required:
Modified duration?
Modified duration effect (price change calculated using duration formula)?
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