Find the duration of a 9.0% coupon bond making semiannually coupon payments if it has three...

Question

Question

Find the duration of a 9.0% coupon bond making semiannually coupon payments if it has three years until maturity and has a yi

Answer 1

Answer #1

Macaulay duration is calculated using DURATION function in Excel :

Settlement = date today, which is 03/09/2020

Maturity = maturity date, which is 3 years from today, or 03/09/2023

coupon = coupon rate = 9%

yld = YTM = 6%, or 11.4%

Frequency = number of coupon payments per year = 2

Modified duration is calculated using MDURATION function in Excel :

Settlement = date today, which is 03/09/2020

Maturity = maturity date, which is 3 years from today, or 03/09/2023

coupon = coupon rate = 9%

yld = YTM = 6%, or 11.4%

Frequency = number of coupon payments per year = 2

X fx =DURATION(B1,B2,B3,B4,B5) B settlement 2 maturity 3 coupon 4 yld 5 frequency 6 Macaulay Duration 7 Modified Duration 3/9

X fx =MDURATION(B1,B2,B3,B4,B5) C 1 settlement 2 maturity 3 coupon 4 yld 5 frequency 6 Macaulay Duration 7 Modified Duration

B16 X fx =DURATION(B11, B12, B13,B14,B15) 11 settlement 12 maturity 13 coupon 14 yld 15 frequency 16 Macaulay Duration 17 Mod

B17 X fac =MDURATION(B11, B12,113,B14,815) C DE F D 11 settlement 12 maturity 13 coupon 14 yld 15 frequency 16 Macaulay Durat

Answer 2

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