Calculate the duration of the following security
Question # 00081889
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Updated on: 07/12/2015 08:19 AM Due on: 08/11/2015
10. Calculate the duration of the following security: 1.25-year floating coupon paying float + 50 bps semiannually. You know that last quarter the semiannual rate was 6.4%.
Use the following discount factors when needed.
t Z(0, t)
0.25 0.9840
0.50 0.9680
0.75 0.9520
1.00 0.9360
1.25 0.9190
1.50 0.9040
1.75 0.8880
2.00 0.8730
2.25 0.8587
2.50 0.8445
2.75 0.8308
3.00 0.8175
3.25 0.8047
3.50 0.7924
3.75 0.7806
4.00 0.7691
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Rating:
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Solution: Calculate the duration of the following security