Calculate the duration of the following security

Question # 00081889 Posted By: paul911 Updated on: 07/12/2015 08:19 AM Due on: 08/11/2015
Subject Economics Topic Financial Markets Tutorials:
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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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  1. Tutorial # 00076556 Posted By: paul911 Posted on: 07/12/2015 08:19 AM
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