Question

A)On 15 August 1996, the U.S. Treasury issued a bond maturing on 15 February 2026. The bond has a coupon rate of 6%, payable semiannually on 15 February and 15 August. If a $100 face value bond is selling for $117.25 on 15 February 2020, compute the bond’s yield to maturity.

B)Compute the above bond’s duration on 15 February 2020.

Answer #1

**(a ):**
Yield to maturity=
**2.85164%**

**(b ):**
Duration on 15 February 2020=
**5.205323 years**

Calculation as below:

On 15 August 1996, the U.S. Treasury issued a bond maturing on
15 February 2026. The bond has a coupon rate of 6%, payable
semiannually on 15 February and 15 August. If a $100 face value
bond is selling for $117.25 on 15 February 2020, compute the bond’s
yield to maturity.
Compute the above bond’s duration on 15 February
2020.

On 15 August 1996, the U.S. Treasury issued a bond maturing on
15 February 2026. The bond has a coupon rate of 6%, payable
semiannually on 15 February and 15 August. If a $100 face value
bond is selling for $117.25 on 15 February 2020, compute the bond’s
yield to maturity ( Use excel and show functions) Part B Compute
the above bond’s duration on 15 February 2020. (Also use excel and
show functions)

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