Answered

Find the best solutions to your questions at Westonci.ca, the premier Q&A platform with a community of knowledgeable experts. Discover comprehensive answers to your questions from knowledgeable professionals on our user-friendly platform. Discover detailed answers to your questions from a wide network of experts on our comprehensive Q&A platform.

The current price of an annual coupon bond is 100. The derivative of the price of the bond with respect to the yield to maturity is -700.The yield to maturity is an annual effective rate of 8%. Calculate the duration of the bond.

Sagot :

Answer:

The duration of the bond = 7.56 years

Explanation:

Given the current price = 100

DM = -1 x Current derivative price / Current price

DM = (-1 x -$700 / $100)

DM = 7

Now,  D = DM (1 + r)

D = 7 (1 + 0.08)

D = 7.56

The duration of the bond = 7.56 years

Thank you for your visit. We're committed to providing you with the best information available. Return anytime for more. Thank you for your visit. We're dedicated to helping you find the information you need, whenever you need it. Westonci.ca is committed to providing accurate answers. Come back soon for more trustworthy information.