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    Bond Duration Calculation

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    Calculate the effective duration of a bond to a 100 basis point change in interest rates with a 6-1/4 coupon, 10-years remaining to maturity, and an asking quote of 110.7811 (decimal, not 32nds).

    Calculate the effective convexity to a 100 basis point change of the bond in Question 5.

    Calculate the total percentage price change (duration and convexity) to a 65 basis point decrease in interest rates for the bond in Questions 5 and 6.

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    ** See the attached file. **

    Thanks.

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    Bond Duration

    5. Calculate the effective duration of a bond to a 100 basis point change in interest rates with a 6-1/4 coupon, 10-years remaining to maturity, and an asking quote of 110.7811 (decimal, not 32nds).
    Coupon rate 6.25%
    Time to maturity 10 years
    Price of Bond (V1) 110.7811
    Face ...

    Solution Summary

    This solution shows step-by-step calculations in an Excel file to determine the effective duration of a bond with interest rates taken in consideration. It also calculates the effective convexity and the total percentage price change.

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