Question

Find the duration of a bond with settlement date June 16, 2016, and maturity date December 25, 2025. 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 =

Answer #1

The macaulay duration can be easily calculated from the Excel formula:

=*DURATION(*Settlement Date*,*Maturity
Date*,*Coupon*,Yield,Frequency)*

Particular |
Date/Value |

Settlement Date(s) | 16-06-2016 |

Maturity Date(m) | 25-12-2025 |

Coupon(c) | 5% |

Yield(y) | 6% |

Frequency(f) | 2 |

Macaulay Duration is calculated as | |

Macaulay
Duration |
7.4200 |

=DURATION(s,m,c,y,f) |

**Modified Duration = Macaulay
Duration/(1+y/f)**

= 7.4200/(1+0.06/2)

= **7.2039**

*Note: Give it a thumbs up if it helps! Thanks in
advance!*

Find the duration of a bond with settlement date June 16, 2016,
and maturity date December 25, 2025. 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 =

Find the duration of a bond with settlement date June 10, 2016,
and maturity date December 13, 2025. The coupon rate of the bond is
7%, and the bond pays coupons semiannually. The bond is selling at
a yield to maturity of 8%. (Do not round intermediate calculations.
Round your answers to 4 decimal places.) Macaulay duration Modified
duration

Find the duration of a bond with settlement date May 30, 2018,
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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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maturity of 10 percent. If the bond matures in 10 years, what is
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(Do not round intermediate calculations. Round your answers to 3
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