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.

Solutions

Expert Solution

Maculay duration in excel has been demonstrated below

Coupon =	5.75%*1000/2	28.75
Semiannual YTM		2%
Time(n)	Cash flow	PV of Cash flow=(Cash flow)/(1+4%/2)^n	PV*Time
1	28.75	28.19	28.1862745
2	28.75	27.63	55.2672049
3	28.75	27.09	81.2753014
4	28.75	26.56	106.242224
5	28.75	26.04	130.198804
6	28.75	25.53	153.175063
7	28.75	25.03	175.200236
8	28.75	24.54	196.302785
9	28.75	24.06	216.510425
10	28.75	23.59	235.850136
11	28.75	23.12	254.348186
12	28.75	22.67	272.030146
13	28.75	22.22	288.920906
14	28.75	21.79	305.044697
15	28.75	21.36	320.425102
16	28.75	20.94	335.085074
17	28.75	20.53	349.046952
18	1028.75	720.29	12965.2012
	Total	1131.1803	16468.3107
	Maculay Duration	7.2793	(=16468.3107/1131.1803)/2
	Modified Duration	7.1365	(=Maculay Duration/(1+YTM/2)

Please Discuss in case of Doubt

Best of Luck. God Bless
Please Rate Well

jeff jeffy answered 1 year ago

Next > < Previous

Related Solutions

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.

What is the Macaulay duration of a bond with a coupon of 5.4 percent, nine years...

What is the Macaulay duration of a bond with a coupon of 5.4 percent, nine years to maturity, and a current price of $1,055.40? (Do not round intermediate calculations. Round your answers to 3 decimal places.) (7.410 is not correct of Macaulay )

What is the Macaulay duration of a bond with a coupon of 5.4 percent, nine years...

What is the Macaulay duration of a bond with a coupon of 5.4 percent, nine years to maturity, and a current price of $1,055.40? What is the modified duration? (Do not round intermediate calculations. Round your answers to 3 decimal places.)

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.)

What is the Macaulay duration of a semiannual-pay 7.62 percent coupon bond with 11 years to...

What is the Macaulay duration of a semiannual-pay 7.62 percent coupon bond with 11 years to maturity and a yield to maturity of 6.06 percent? The correct answer is 7.851. How do you get that? Using the Macaulay duration formula, not excel.

What is the Macaulay duration of a semiannual-pay 7.62 percent coupon bond with 11 years to...

What is the Macaulay duration of a semiannual-pay 7.62 percent coupon bond with 11 years to maturity and a yield to maturity of 6.06 percent? Solve with Macaulay duration formula

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.

What is the bond’s Macaulay duration of a 2.5 years, 8 percent semiannual coupon bond selling...

What is the bond’s Macaulay duration of a 2.5 years, 8 percent semiannual coupon bond selling at par of $1,000? A. 2.5 years. B. 2.45 years. C. 1.94 years. D. 2.31 years. E. 1.75 years

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...

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.

Subjects