A bond matures in 30 years, has a 20 year duration and a yield-to-maturity of 9.32%. The change in the level of the market interest rate is 0.47%. The modified duration is

Name: A bond matures in 30 years, has a 20 year duration and a yield-to-maturity of 9.32%. The change in the level of the market interest rate is 0.47%. The modified duration is
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Quizplus · Accepted Answer

The modified duration is calculated by dividing the Macaulay duration by (1 + yield-to-maturity). Here, it is 20 / (1 + 0.0932) = 18.29 years.

A Bond Matures in 30 Years, Has a 20 Year