Question

Find the duration of a 4.0% coupon bond making semiannually coupon payments if it has three years until maturity and has a yield to maturity of 6.0%. What is the duration if the yield to maturity is 8.0%? Note: The face value of the bond is $100. (Do not round intermediate calculations. Round your answers to 4 decimal places.)

Answer 1

1.
=(1*2%*1000/1.03+2*2%*1000/1.03^2+3*2%*1000/1.03^3+4*2%*1000/1.03^4+5*2%*1000/1.03^5+6*2%*1000/1.03^6+6*1000/1.03^6)/(2%*1000/1.03+2%*1000/1.03^2+2%*1000/1.03^3+2%*1000/1.03^4+2%*1000/1.03^5+2%*1000/1.03^6+1000/1.03^6)*1/2
=2.85188

2.
=(1*2%*1000/1.04+2*2%*1000/1.04^2+3*2%*1000/1.04^3+4*2%*1000/1.04^4+5*2%*1000/1.04^5+6*2%*1000/1.04^6+6*1000/1.04^6)/(2%*1000/1.04+2%*1000/1.04^2+2%*1000/1.04^3+2%*1000/1.04^4+2%*1000/1.04^5+2%*1000/1.04^6+1000/1.04^6)*1/2
=2.84690