Question

Find the duration of a 6% coupon bond making annual coupon payments if it has three years until maturity and a yield to maturity of 10%. (Round your answer to three decimal places)

Answer 1

Duration = 2.824 (Rounding it to three decimal places)

(Assuming Face value = 100 and coupon = 6)

Year	Coupon	Discount factor (Df) @ 10%	Present value	Weight	Duration
	FV x 6%	Df =1 / (1+10%)^ year	Coupon x Df	PV / Total PV	=Year x weight
1	6	0.909091	5.454545	0.060571	0.060571
2	6	0.826446	4.958678	0.055064	0.110128
3	106	0.751315	79.639369	0.884365	2.653095
		Total	90.053	1.000	2.824