Calculate Treasury Note Price With Asked Price Method

Question

U.S. Treasury quotes from the WSJ on Oct. 15, 1993:

Rate

Maturity

Ask

Change

Ask yield

7.1250

Oct 15, 1995

102.08

-1

5.9156


1. What is the duration of the above Treasury note? Use the asked price to calculate the duration. Recall that Treasuries pay interest semiannually.
    a. 3.86 years.
    b. 1.70 years.
    c. 2.10 years.
    d. 1.90 years.
    e. 3.40 years.

2. If yields increase by 10 basis points, what is the approximate price change on the $100,000 Treasury note? Use the duration approximation relationship.
    a. +$188.69.
    b. +$16.05.
    c. –$1,605.05.
    d. –$16.05.
    e. +$160.51.

Summary

These short questions belong to Finance and the questions are about US Treasury notes. The price of the treasury note is to be calculated using asked price. And the change in price of treasury notes with increase in 10 basis points also needs to be calculated.

Total Word Count 84

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