Question

You find a bond with 3 years until maturity that has a coupon rate of 7.6 percent and a yield to maturity of 6.1 percent. What is the Macaulay duration?

Answer 1

Year	CF	PVF @6.1%	Disc CF	Weight	Wt * Year
1	$      76.00	0.9425	$   71.63	0.0689	0.0689
2	$      76.00	0.8883	$   67.51	0.0649	0.1298
3	$      76.00	0.8372	$   63.63	0.0612	0.1835
3	$ 1,000.00	0.8372	$ 837.25	0.8050	2.4151
Duration in Years	2.7973

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