Find the Macaulay duration of a $1,000 10-year 6% bond with annual coupons and a $1,200 call

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Find the Macaulay duration of a $1,000 10-year 6% bond with annual coupons and a $1,200 call if the yield to maturity is 8%.

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Derivatives Markets

ISBN: 9789332536746

3rd Edition

Authors: Robert McDonald

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Posted Date: Jul 04, 2023 12:54 AM

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Find the Macaulay duration of a $1,000 10-year 6% bond with annual coupons and a $1,200 call

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To calculate the Macaulay duration of a bond we need to determine the present value of each cash flo... View the full answer

Derivatives Markets

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