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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)

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jeff jeffy answered 1 year ago
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