Chapter 16 Saved Help Save & Exit Submit Check my work 10 Find the 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 6.0%, and the bond pays coupons semiannually. The bond is selling at a bond-equivalent yield to maturity of 12.0%. Use Spreadsheet 16.2. (Do not round intermediate calculations. Round your answers to 4 decimal places.) points Skipped Macaulay duration Modified duration eBook Print References F 2 1 3 4 A B C D Time until Payment Period (Years) Cash Flow A.8% coupon bond 11 0.5 21 40 1 3 1.5 40 4 2 1040 Sum: E 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) B7 =SUM(E4:E7) G 1 Column (C) times 1 Column (F) =F4C4 =F5'C5 =F6'06 =F76C7 =SUM(G4:47) Weight =E4/E$8 =E5/E$8 =E6/E$8 =E7/E$8 =SUM(F4:F7) 5 6 8 9 10 B. Zero-coupon 0.5 11 12 3 1.5 0 O 1000 =D10/(1+$B$16 B10=E10/E$14 =F10*C10 =D11/(1+$B$ 16,B11=E1 1/E$14 =F11'C11 =D12/(1+$B$ 16, B12=E12/E$14 =F12*C12 =D13/(1+$B$ 16/B13 =E13/E$14 =F13*C13 =SUM(E 10:E 13) =SUM(F10:F13) =SUM(G10:G13) 13 2 Sum: 14 15 16 Semiannual int rate: 0.05 Spreadsheet 16.2 Spreadsheet formulas for calculating duration