U.S. Treasury quotes as follows: U.S. Treasury quotes from the WSJ on Oct. 15, 2003: Rate Maturity Ask Change Ask yield 7.1250 Oct...

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Finance

U.S. Treasury quotes as follows: U.S. Treasury quotes from theWSJ on Oct. 15, 2003:
Rate
Maturity
Ask
Change
Ask yield
7.1250
Oct 15, 2005
102:08
-1
5.9156
a. What is the duration of the above Treasury note? Use theasked price to calculate the duration. Recall that Treasuries payinterest semiannually.
b. If yields increase by 10 basis points, what is theapproximate price change on the $100,000 Treasury note? Use theduration approximation relationship. Briefly discuss.

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4.0 Ratings (658 Votes)

Part A Duration is calculated in the Excel and it is185Part B Since See Answer

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U.S. Treasury quotes as follows: U.S. Treasury quotes from theWSJ on Oct. 15, 2003:RateMaturityAskChangeAsk yield7.1250Oct 15, 2005102:08-15.9156a. What is the duration of the above Treasury note? Use theasked price to calculate the duration. Recall that Treasuries payinterest semiannually.b. If yields increase by 10 basis points, what is theapproximate price change on the $100,000 Treasury note? Use theduration approximation relationship. Briefly discuss.

Rate	Maturity	Ask	Change	Ask yield
7.1250	Oct 15, 2005	102:08	-1	5.9156