Find the duration of a bond with settlement date May 27, 2018, and maturity date November 15,
Question:
Find the duration of a bond with settlement date May 27, 2018, and maturity date November 15, 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%. You can use Spreadsheet 11.2, available in Connect; link to Chapter 11 material.
Spreadsheet 11.2
Transcribed Image Text:
A 1 Inputs 2 Settlement date 3 Maturity date 4 Coupon rate 5 Yield to maturity 6 Coupons per year 7 8 Outputs 9 Macaulay duration 10 Modified duration B Formula In column B 1/1/2000-DATE(2000,1,1) 1/1/2003 DATE(2003,1,1) 0.08 0.08 0.10 0.10 1 1 2.7774 2.5249 DURATION(B2,B3,B4,B5,B6) MDURATION/B2.83.84.85.86)
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To find the duration of a bondwe can use the following formula Duration Present Value of Cash Flow T...View the full answer
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Related Book For
ISE Essentials Of Investments
ISBN: 9781265450090
12th International Edition
Authors: Zvi Bodie, Alex Kane, Alan Marcus
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