A Treasury bond with 8 years to maturity is currently quoted at 110:12. The bond has...

A Treasury bond with 8 years to maturity is currently quoted at 110:12. The bond has a coupon rate of 8.3 percent. What is the yield value of a 32nd for this bond?

Solutions

Expert Solution

Yield value of a 32nd = 1/(32*Dollar value of 01)

it shows the how much Yield to maturity (YTM) change if Bond price change one tick i.e 1/32.

Dollar value of 01 = modified duration*bond price*0.0001

It shows the how much bond price change if YTM change by 01 basis point.

Cell reference -

Hope this will help, please do comment if you need any further explanation. Your feedback would be appreciated.

Please refer to below spreadsheet for calculation and answer. Cell reference also provided.

jeff jeffy answered 7 months ago

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