Find both the Macaulay and Modified duration of a bond with a settlement date of May 27, 2020, and maturity date November 15, 2031. The coupon rate of the bond is 5.5%, and the bond pays coupons semiannually. The bond is selling at a bond -equivalent yield to maturity of 6.5%.
Please refer to below spreadsheet for calculation and answer. Cell reference also provided.
Cell reference -
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Find both the Macaulay and Modified duration of a bond with a settlement date of May...
Find the duration of a bond with settlement date June 14, 2018, and maturity date December 21, 2027. The coupon rate of the bond is 8%, and the bond pays coupons semiannually. The bond is selling at a yield to maturity of 9%. (Do not round intermediate calculations. Round your answers to 4 decimal places.) Macaulay Duration Modified Duration
Find the duration of a bond with settlement date June 10, 2012, and maturity date December 13, 2021. The coupon rate of the bond is 7%, and the bond pays coupons semiannually. The bond is selling at a yield to maturity of 8%. (Do not round intermediate calculations. Round your answers to 4 decimal places.) Macaulay duration Modified duration
Find the duration of a bond with settlement date June 10, 2018, and maturity date December 13, 2027. The coupon rate of the bond is 7%, and the bond pays coupons semiannually. The bond is selling at a yield to maturity of 8%. (Do not round intermediate calculations. Round your answers to 4 decimal places.)
1. Which of the following is an example of curve duration? A. Macaulay duration. B. Modified duration. C. Effective duration. 2. Two statements about duration are given as follows: Statement 1: "Duration measures the percentage change in bond price for a one basis point change in the yield." Statement 2: "Money duration measures the price change in bond price for a one basis point change in the yield." A. Both statements are correct. B. Exactly one of the statement is...
Manually compute the modified duration for the following bond: Maturity Date: 04/20/2017 Settlement Date: 02/05/2016 Coupon Rate: 10% Coupon Frequency: Semiannual Yield-to-Maturity: 12% Day Count Convention: 30/360 (European)
A bond has a Macaulay duration equal to 8.5 and a yield to maturity of 6.5%. What is the modified duration of this bond? The modified duration of this bond is(Round to two decimal places.)
A В D E F Column (C) 1 Time until PV of CF (Discount rate = 5% per period) -D4/(1+ $B$16 )B4 -D5/(1+ $ B$16) B5 -D6/(1+ $ B$16) B6 -D7/(1+ $B$ 16 )rB7 -SUM(E4:E7) Payment (Years) 2 times Cash Flow Column (F) Period Welght -E4/E$8 -E5/E$8 -E6 / E$8 -E7/E$8 -SUM(F4:F7) 4 A. 8% coupon bond =F4'C4 1 0.5 40 =F5'C5 2 1 40 =F6'C6 6 1.5 40 =F7'C7 7 4 2 1040 Sum -SUM(G4:G7) = D10/(1+ $ B$...
7. Find the Macaulay duration of a 6% coupon bond making annual coupon payments if it has three years until maturity and has a yield to maturity of 6%. ____________ What is the Macaulay duration if the yield to maturity is 10%? ______________
a. A 6% coupon bond paying interest annually has a modified duration of 7 years, sells for $820, and is priced at a yield to maturity of 9%. If the YTM decreases to 8%, what is the predicted change in price ($) using the duration concept? (2 marks) b. A bond with annual coupon payments has a coupon rate of 6%, yield to maturity of 7 % , and Macaulay duration of 12 years. What is the bond's modified duration?...
pleas the answer using excel Bond B Settlement Date Maturity Date Coupon Rate Required Return (YTM) Redemption Value Frequency Basis 28/3/19 15/8/34 10.00% 8.00% 1,000 Modified Duration Convexity Predicted % Change Bond B Settlement Date Maturity Date Coupon Rate Required Return (YTM) Redemption Value Frequency Basis 28/3/19 15/8/34 10.00% 8.00% 1,000 Modified Duration Convexity Predicted % Change