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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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Question

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.

Answer & Explanation Solved by verified expert
4.0 Ratings (658 Votes)
Part A Duration is calculated in the Excel and it is185Part B Since    See Answer
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Transcribed Image Text

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.

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