Fixed Income Problem Set #2: Interest Rate Risk, Bond Duration and Bond Convexity Part2: Bond Duration Measures 25. Macaulay Corporation, a fixed-income securities consulting firm, issued bonds with the following characteristics: C/Y Maturity (yrs) CouponRate MktRate Face feature 2 3 7.00% 6.50% 1,000 noncallable semiannual coupons a) Using the following template, calculate this bond's Macaulay Duration D. [1] [2] [3] [4] [5] = [4] = [P] [6] = [2] * [5] weight of time-weighted Period Year CF PV(CF) PV(CF) value Price of bond = Sum of PV(CF) = [P] = 1,013.4315 D= 2.7594 b) Using the algebraic formula, calculate this bond's Duration D. Hint: you should get the same answer as [a]. niversity Metropolitan College AD-719 Fixed Income Analysis 1ty (1ty)+t(c - y) where y = periodic market rate web sites. [San CHEE, Senior Led D = y c[(1 + y)*-1] + y c = periodic coupon rate t = number of periods D= C = 1 = D = 5.5188 periods = 2.7594 yrs [= [a]