9-110.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.

Question

Quizplus · Accepted Answer

The duration approximation relationship is:Price change = -Duration * Change in yield * Face valueIn this case, the duration is 6.5 years, the change in yield is 0.1%, and the face value is $100,000. So, the price change is:Price change = -6.5 * 0.001 * 100,000 = -$650The price will decrease by $650, or approximately $188.69.

9-110If Yields Increase by 10 Basis Points,what Is the Approximate