I need help understanding the calculation of mod duration footnote 11 as it pertains to the bridge example starting on page 143… Specifically, how did the author get the modified duration of 4.218. I tried 5 year *.75 -minus the floating side. This obviously is not it. Anybody?
Thanks
I got about 4.21.
Follow the same steps as in Reading 19 on calculating Macaulay duration (in tabular format) and Modified duration. I used 2.84%.
In the exam, they should provide the modified duration or BPV of the swap if they want you to compute the %change in value.