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A Treasury bond with 5 years to maturity is currently quoted at 107:15. The bond has...

A Treasury bond with 5 years to maturity is currently quoted at 107:15. The bond has a coupon rate of 7.7 percent. What is the yield value of a 32nd for this bond? (Do not round intermediate calculations. Round your answer to 3 decimal places.)

Solutions

Expert Solution

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

This measure shows how much yield rate change if one tick(1/32) change in bond price.

Dollar value of an 01 = modified duration * 0.0001

This measure shows how much bond price change if one basis point change in yield rate.

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

Cell reference -

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

jeff jeffy answered 1 year ago
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