(a) Distinguish between the full valuation and duration approaches to measuring interest rate risk. (b) Define Macaulay
Posted: Tue Nov 23, 2021 8:50 am
(a) Distinguish between the full valuation and duration approaches to measuring interest rate risk.
(b) Define Macaulay bond duration, and describe the general and the closed-form formulas to measure Macaulay duration.
(c) Using Macaulay’s general and closed form formulas, calculate the duration of a 6 percent, $1,000 par bond maturing in three years if the yield to maturity is 10 percent and interest is paid semiannually.
(b) Define Macaulay bond duration, and describe the general and the closed-form formulas to measure Macaulay duration.
(c) Using Macaulay’s general and closed form formulas, calculate the duration of a 6 percent, $1,000 par bond maturing in three years if the yield to maturity is 10 percent and interest is paid semiannually.