Calculate the modified duration? Issue Price Yield to maturity US Treasury bond 15 4/5% maturing 3 July, 2030 1000 15.8% US Treasury long bond futures contract (contract expiration in 8 months) 65 15.9% Busco bond 16 11/20% maturing 3 July, 2025 (sinking fund debenture, rated AAA) 95 17.55% One US Treasury bonds futures contract is a claim on $ 1,000,000 par value long-term US Treasury bonds.

Calculate the modified duration? Issue Price Yield to maturity US Treasury bond 15 4/5% maturing 3 July, 2030 1000 15.8% US Treasury long bond futures contract (contract expiration in 8 months) 65...

Calculate the modified duration?

Issue	Price	Yield to maturity
US Treasury bond 15 4/5% maturing 3 July, 2030	1000	15.8%
US Treasury long bond futures contract (contract expiration in 8 months)	65	15.9%
Busco bond 16 11/20% maturing 3 July, 2025 (sinking fund debenture, rated AAA)	95	17.55%

One US Treasury bonds futures contract is a claim on $ 1,000,000 par value long-term US Treasury bonds.

Jun 09, 2022

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