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Category > Business & Finance Posted 29 Jul 2017 My Price 11.00

1. In February 2009, Treasury 8.5s of 2020 yielded 3.2976%

1. In February 2009, Treasury 8.5s of 2020 yielded 3.2976% (see Figure 3.1 ). What was their price? If the yield rose to 4%, what would happen to the price?

2. On the same day Treasury 3.5s of 2018 were priced at 107:15 (see Figure 3.1 ). What was their yield to maturity? Suppose that the price was 110:00. What would happen to the yield?

3. What was the duration of the Treasury 8.5s? How would duration change if the yield rose to 4%? Can you explain why?

4. What was the modified duration of the Treasury 8.5s? How would modified duration differ if the coupon were only 7.5%?

 
 
 

 

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Status NEW Posted 29 Jul 2017 03:07 PM My Price 11.00

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