Question
In: Finance
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 2 years agoRelated Solutions
A 5-year, 6% annual-compounding bond priced to yield 8%. a. Calculate the Macaulay duration of the...
A 5-year, 6% annual-compounding bond priced to yield 8%.
a. Calculate the Macaulay duration of the bond.
b. Calculate the bond price.
c. Calculate the modified duration of the bond.
d. According the modified duration, what is the estimated bond
price if the market yields decline to 7%?
e. Using financial calculator, calculate the actual bond price
if rate does drop to 7%?
f. How does the actual bond price compare to the price predicted
by the modified duration? Explain...
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.)
Calculate the duration for the 25-year, 9% coupon bond with semiannual coupon payments. The bond is...
Calculate the duration for the 25-year, 9% coupon bond with
semiannual coupon payments. The bond is purchased when the YTM is
7%. Calculate the duration by using nonExcel equation. Calculate
the duration by using Excel Duration function
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
ADVERTISEMENT
ADVERTISEMENT
Latest Questions
- A labor market has 50,000 people in the labor force. Each month, a fraction p of...
- A road with a radius of 72 m is banked so that a car can navigate...
- 1) If you had not dried the solid, would the calculated percent yield have been higher,...
- Two structures of alanine can be drawn that have a net charge of zero, but the...
- Co(II) was used as an internal standard to analyze a sample of Ti(IV) with atomic absorption...
- Matlab Programming Write an M-file to read a real-valued vector of any length from the keyboard...
- TASK back to top In the contemporary management environment, mergers and acquisitions are hot topics; particularly...
ADVERTISEMENT