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17 September, 23:23

A bond with duration of 10 years has yield to maturity of 10%. this bond's volatility is:

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  1. 17 September, 23:48
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    Given:

    Duration = 10 years

    Yield to maturity = 10%

    To find: Bond volatility.

    Solution:

    Volatility (in percentage) = Duration / (1+yield)

    Now putting values in the formula,

    10 / (1+10%)

    10 / (1+10/100)

    10 / (1+0.1)

    10/1.1 = 9.09%

    So, bond volatility is 9.09%.
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