A Treasury bond that settles on October 18, 2016, matures on March 30, 2035. The coupon...

A Treasury bond that settles on October 18, 2016, matures on March 30, 2035. The coupon rate is 6.05 percent and the bond has a yield to maturity of 5.50 percent. What are the Macaulay duration and modified duration?


Macaulay duration
Modified duration

Solutions

Expert Solution

Basic Information	Anually	Semi anually
Settlement	10/18/2016	10/18/2016
Maturity	3/30/2035	3/30/2035
Coupon	6.05%	6.05%
YTM	5.50%	5.50%
Frequency	1	2
Macaulay duration	11.46309713	11.555515
Modified duration	10.86549491	11.24624331

Excel	DURATION(H8,H9,H10,H11,1,1)
Formula	MDURATION(H8,H9,H10,H11,2,1)

The Macaulay duration is the weighted average term to maturity of the cash flows from a bond. The weight of each cash flow is obtained by dividing the PV of the cash flow by the price. Macaulay duration is used by portfolio managers.

The Modified Macaulay duration which accounts for changing yield to maturities

jeff jeffy answered 1 year ago

Next > < Previous

Related Solutions

A bond that settles on June 7, 2016, matures on July 1, 2036, and may be...

A bond that settles on June 7, 2016, matures on July 1, 2036, and may be called at any time after July 1, 2026, at a price of 166. The coupon rate on the bond is 7.6 percent and the price is 178.00. What are the yield to maturity and yield to call on this bond? Yield to maurity: Yield to call:

A bond that settles on June 7, 2016, matures on July 1, 2036, and may be...

A bond that settles on June 7, 2016, matures on July 1, 2036, and may be called at any time after July 1, 2026, at a price of 170. The coupon rate on the bond is 6 percent and the price is 187.00. What are the yield to maturity and yield to call on this bond? (Do not round intermediate calculations. Enter your answers as a percent rounded to 2 decimal places.) yield to maturity and yield to call?

A 30-yr Treasury bond with a coupon yield of 10% and a 5-yr Treasury bond with...

A 30-yr Treasury bond with a coupon yield of 10% and a 5-yr Treasury bond with a coupon yield of 3% have different yields because: A. Inflation is expected to diminish the value of money B. The yield curve is inverted C. Lenders demand compensation for the longer time frame D. The yield curve is flat E. Both A & C

"Calculate the price of a 2.80% coupon bond that matures in 18 years if the market...

"Calculate the price of a 2.80% coupon bond that matures in 18 years if the market interest rate is 4.05% (Assume semiannual compounding and $1,000 par value)."

4.U.S. Treasury bonds pay coupon interest semiannually. Suppose a Treasury bond matures in two years, the...

4.U.S. Treasury bonds pay coupon interest semiannually. Suppose a Treasury bond matures in two years, the annual coupon rate is 2.6 percent, the face value is $1,000, and the annual yield to maturity is 3.5 percent. a. What is the duration of the bond? b. What is the modified duration? c. What is the dollar duration? d. What would be the change in price of the bond if there was a 10 basis point change in the return?

A bond that matures in 18 years has a $1,000 par value. The annual coupon interest...

A bond that matures in 18 years has a $1,000 par value. The annual coupon interest rate is 14 percent and the market's required yield to maturity on a comparable-risk bond is 15 percent. What would be the value of this bond if it paid interest annually? What would be the value of this bond if it paid interest semiannually?

Roadside Markets has a 6.75 percent coupon bond outstanding that matures in 30 years. The bond...

Roadside Markets has a 6.75 percent coupon bond outstanding that matures in 30 years. The bond pays interest annually. What is the market price per bond if the face value is $1,000 and the yield to maturity is 7.2 percent? (round your answer to two decimal places)

A 7.500% semiannual coupon payment bond settles on a coupon date. The tenor is 10 years....

A 7.500% semiannual coupon payment bond settles on a coupon date. The tenor is 10 years. The bond's yield to maturity is 9.400%. What is the bond’s approximate modified duration (AMD)? Use yield changes of +/- 40 bps around the yield to maturity for your calculations. A. 5.881 B. 6.101 C. 6.444 D. 6.684

All Treasury yields are at 1%. I long a 30-yr treasury bond, coupon rate = 5%....

All Treasury yields are at 1%. I long a 30-yr treasury bond, coupon rate = 5%. If yield increases by 2%, calculate the dollar change in value using the modified duration, and the change is called delta p1. Calculate the exact dollar change by the exact new price - the original price, and the change is called delta p2. What is delta p1 - delta p2? (Should be in units of dollars)

1. Roadside Markets has a 6.75 percent coupon bond outstanding that matures in 30 years. The...

1. Roadside Markets has a 6.75 percent coupon bond outstanding that matures in 30 years. The bond pays interest annually. What is the market price per bond if the face value is $1,000 and the yield to maturity is 7.2 percent? (round your answer to two decimal places) a)How the price of the bond in the question above will change if yield to maturity decreases and everything else stays the same. Group of answer choices Price of the bond will...

Subjects