I. A bond is maturing in 30 years and has a semiannual coupon of 3.5%...
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I. A bond is maturing in 30 years and has a semiannual coupon of 3.5% (for each $100 of notional $3.5/2 is paid every 6 month). Suppose the price of this bond is 57-16. a) Calculate the bond's Yield to Maturity. b) Suppose you have a position in that bond that has a market value 10 Million. What is the Modified Duration, Macaulay Duration, Convexity and DV01 of that portfolio? c) Suppose you have 10 Million of notional of that bond. What is the Modified Duration, Macaulay Duration, Convexity and DV01 of that portfolio
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