Empirical duration question 1 a bond trader is considering, Ask an Expert

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Empirical Duration Question?

1. A bond trader is considering taking a position in a bond with complex embedded option features. Using recent transaction prices (below), calculate the bond's empirical duration. 4.50% is the current yield to maturity (y).

Bond price: 103.25, y = 4.40%
Bond price: 102.75, y = 4.50%
Bond price: 102.45, y = 4.60%

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Category:- Basic Finance
Reference No.:- M91251826

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