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Professor Carpenter
Reading
!!Veronesi, Chapter 1 !!Tuckman, Chapter 18
Professor Carpenter
Professor Carpenter
0.5
...
...
Professor Carpenter
0 5.54%
0.5 6.00%
1 5.44% 1 3.00
2 103.09
Professor Carpenter
0.5
1.5
...
Professor Carpenter
Class Problems
Assume the 0.5-year rate is 5.54%. 1)! What is the duration of a semi-annual paying floating-rate note? 2)! What is the dollar duration of $100 par of this note?