Question

Consider the following bond:

1. US Gov't Treasury Bond 2.375% due May 15, 2029 trading at a yield to maturity of 0.621%.  Assume a settlement date of May 22nd, 2020

Calculate the bond's Macaulay Duration, Modified Duration and the Convexity Measure.Note, you must calculate the full market price of each bond to arrive at the duration and convexity figures (do not back out accrued interest).

Assume that for the US treasury bonds the actual/actual day count convention applies. For the actual/actual day count convention use the actual days in the 6 month period for the denominator (for example: 181 days).

Face value = 100

Answer 1