问题如下:
Suppose the face value of a three-year option-free bond is USD 1,000 and the annual coupon is 10%. The current yield to maturity is 5%. What is the modified duration of this bond?
选项:
A. 2.62
B. 2.85
C. 3.00
D. 2.75
解释:
ANSWER: A
As in Table below, we lay out the cash flows and find
Duration is then 2.75, and modified duration 2.62.
感觉答案得数不是很准,算的duration是2.7869. Dmod是2.6542