Please show work

e. Ignoring the call provision of the bond, determine its duration. Then determine AND PROVE its modified duration or volatility, assuming a 1% change in interest rates.

Settlement

1/1/2020

Maturity

1/1/2040

Coupon

0.08

Yield

7.05%

Frequency*

1

Make this "1"

DURATION

11.024

Hint: you should get about 11.024 for duration

Using the formula:

MD =

duration

1 + YTM

11.024

1.08

10.21

Proof:

Coupon

Coupon

Y-T-M (from

Price (from

8% Bond

8% Bond

G51,H51,I51)

G55,H55,I55)

Rate*

YTM +.5%

Nper

at YTM

change in price:

Coupon

YTM -.5%

#DIV/0!

Face

(should match

Price

cell F46)