Question

Find the duration of a bond with settlement date May 30, 2018, and maturity date November...

Find the duration of a bond with settlement date May 30, 2018, and maturity date November 21, 2027. The coupon rate of the bond is 5%, and the bond pays coupons semiannually. The bond is selling at a yield to maturity of 6%. (Do not round intermediate calculations. Round your answers to 4 decimal places.)

Macaulay duration: ???

Modified duration: ???

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Answer #1

Macaulay duration can be found out using 'DURATION' function in excel

The modified duration can be found out using 'MDURATION' function in excel

Payment frequency is 2 since coupons are paid semi-annually

Settlement date 30-May-18
Maturity date 21-Nov-27
Coupon rate 5%
Payment frequency per year 2
Bond YTM 6%
Macaulay duration 7.5691343
Modified duration 7.348674

Macaulay duration (in years) = 7.57

Modified duration (in years) = 7.35

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