Compute the Macaulay duration and modified duration of a 6%, 25-year bond selling at a yield...

Compute the Macaulay duration and modified duration of a 6%, 25-year bond selling at a yield of 9%.

Coupon frequency and compounding frequency are assumed to be semiannual.

Solutions

Expert Solution

Macaulay Duration= 11.09534 years

Modified Duration= 10.61755 years

Calculation as below:

jeff jeffy answered 2 years ago

Next > < Previous

Related Solutions

a) Compute the modified duration of a 9% coupon, 4-year corporate bond with a yield to...

a) Compute the modified duration of a 9% coupon, 4-year corporate bond with a yield to maturity of 10%. b) Using the modified duration, If the market yield drops by 25 basis points, there will be a __________% (increase/decrease) in the bond's price.

4. a) Compute the modified duration of a 10% coupon, 4-year corporate bond with a yield...

4. a) Compute the modified duration of a 10% coupon, 4-year corporate bond with a yield to maturity of 8%. b) Using the modified duration, If the market yield drops by 25 basis points, there will be a __________% (increase/decrease) in the bond's price.

1)Find the Macaulay duration and the modified duration of a15-year,11.5%corporate bond priced to yield9.5%.According to the...

1)Find the Macaulay duration and the modified duration of a15-year,11.5%corporate bond priced to yield9.5%.According to the modified duration of this bond, how much of a price change would this bond incur if market yields rose to10.5%?Using annual compounding, calculate the price of this bond in one year if rates do rise to10.5%.How does this price change compare to that predicted by the modified duration? Explain the difference. 2) An investor is considering the purchase of a(n)6.75%,18-year corporate bond that's being...

1) Compute the Macaulay duration for a 5-year bond paying annual coupons of 9% and having...

1) Compute the Macaulay duration for a 5-year bond paying annual coupons of 9% and having a yield to maturity of 9.5%. a. 3.86 Answers: a. 3.86 b. 4.57 c. 5.00 d. 3.78 e. 4.23 2) Which of the following bonds would be cheapest to deliver given a T-note futures price of 90.4697? (Assume that all bonds have semiannual coupon payments based on a par value of $100.) Answers: a. 9.5-year bond with 4.5% coupons and a yield of 3.5%...

A three year bond pays semiannually $3 ($6 per year) is trading at 98.50 and has a par value of 100. Find the Macaulay and modified duration.

Directions: All calculations involving interest rates should be answered as a percentage to two decimal places, for example 5.42% rather than 0.05.1.) A three year bond pays semiannually $3 ($6 per year) is trading at 98.50 and has a par value of 100. Find the Macaulay and modified duration.

Calculate the Macaulay duration for a nine year, 5.75% semiannual coupon bond priced to yield 4%....

Calculate the Macaulay duration for a nine year, 5.75% semiannual coupon bond priced to yield 4%. Can someone calculate this using Excel? Please show the variables.

A 4-year 12% coupon bond has a yield of 10%. a) What are its Macaulay Duration,...

A 4-year 12% coupon bond has a yield of 10%. a) What are its Macaulay Duration, Modified duration, and convexity b) What is the actual price change, Modified Duration predicted price change and Modified Duration + convexity predicted change in price for an increase of 50 basis point in the yield. Assume a flat term structure before and after the increase and annual coupons.

Calculate both Macaulay and modified durations of the eight-year, 8.5% coupon bond given a flat yield...

Calculate both Macaulay and modified durations of the eight-year, 8.5% coupon bond given a flat yield curve at 10%.

Which of the following is true about duration and modified duration? I. The Macaulay duration calculates...

Which of the following is true about duration and modified duration? I. The Macaulay duration calculates the weighted average time before a bondholder would receive the bond's cash flows. II. Modified duration measures price sensitivity of a bond to changes in YTM by adjusting duration with a factor based on current yield. III. The value of duration and modified duration are usually very close, but duration is almost always a larger number.A.Duration is important to banks when they try to...

A bond with Macaulay duration of 2.1 years has a yield of 4.88% and makes coupon...

A bond with Macaulay duration of 2.1 years has a yield of 4.88% and makes coupon payments semiannually. If the yield changes to 5.51%, what percentage price change would the duration measure predict? (Round to the nearest 0.001%, drop the % symbol. E.g., if your answer is -5.342%, record it as -5.342.)

Subjects