Question

42.) The value of a 5-year 5% coupon bond with face value $10,000 is currently $9,000. What is the duration (in years) of the coupon bond? Round your answer to at least 2 decimal places.

Answer 1

=RATE(5,5%*10000,-9000, 10000) Coupon rate= 0.05 ДА В YTM= Time until 2 payment Payment 3 1 1 =$E$1*10000 42 =$E$1*10000 5 3 =$E$1*10000 6 4 =$E$1*10000 7 5 =($E$1*10000)+10000 8 discounted at YTM =1/(1+$C$1 A3 =1/(1+$C$1) A4 =1/(1+$C$1) A5 =1/(1+$C$1 ) A6 =1/(1+$C$1^AZ discounted payment weight(4) [1x4 =C3*B3 =D3/$D$8 ]=E3*A3 =C4*B4 =D4/$D$8 =E4*A4 =C5*B5 =D5/$D$8 =E5*A5 =C6*B6 =D6/$D$8 =E6*A6 =C7*B7 =D7/$D$8 l=E7*A7 =SUM(D3:07) Duration 1=SUM(F3:F7) |

3 emo ДА В YTM= 7.47% Coupon rate= 5.00% Time until payment 1) Payment discounted at YTM discounted payment weight(4) 1x4 1 500 0.930495216 465.2476082 0.051694179 0.051694179 500 0.865821348) 432.9106739 0.048101186 0.096202372 500 0.805642622 402.8213112 0.044757923 0.13427377 500 0.749646606 374.8233032 0.041647034 0.166588135 5 10500 0.697542581 7324.197103 0.813799678 4.068998391 9000.00 Duration 4.52