Consider a bond with a face value of $1,000, an annual coupon rate of 6%, a...
Consider a bond with a face value of $1,000, an annual coupon rate of 6%, a yield to maturity of 8%, and 10 years to maturity. The bond's duration is?
Homework Answers
| YTM | 8.00% | |||
| Time | Cash flow | PV of Cash flow | PV*Time | |
| 1 | 60 | 55.56 | 55.55555556 | |
| 2 | 60 | 51.44 | 102.8806584 | |
| 3 | 60 | 47.63 | 142.8898034 | |
| 4 | 60 | 44.10 | 176.4071647 | |
| 5 | 60 | 40.83 | 204.1749591 | |
| 6 | 60 | 37.81 | 226.8610657 | |
| 7 | 60 | 35.01 | 245.065966 | |
| 8 | 60 | 32.42 | 259.3290646 | |
| 9 | 60 | 30.01 | 270.1344423 | |
| 10 | 1060 | 490.99 | 4909.850974 | |
| Total | 865.80 | 6593.149653 | ||
| Bond | Duration | 7.62 | (=6593.149653/865.80) | |
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