NO.PZ2016082402000008
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: 2.62
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.