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Find the Macaulay duration of Bond ABC in years by using an excel table. (4 digits...

Find the Macaulay duration of Bond ABC in years by using an excel table. (4 digits after the decimal)

  

Bond ABC

Coupon

8%

Yield to maturity

9%

Maturity (years)

5

Par

$100.00

Price

$96.0436

Solutions

Expert Solution

Period Cash Flow Discounting factor PV Cash Flow Duration Calc
0 ($96.04) =(1+YTM/number of coupon payments in the year)^period =cashflow/discounting factor =PV cashflow*period
1               8.00                                                             1.09                      7.34                    7.34
2               8.00                                                             1.19                      6.73                  13.47
3               8.00                                                             1.30                      6.18                  18.53
4               8.00                                                             1.41                      5.67                  22.67
5          108.00                                                             1.54                    70.19                350.96
      Total                412.97
Macaulay duration =(∑ Duration calc)/(bond price*number of coupon per year)
=412.97/(96.0436*1)
=4.3

jeff jeffy answered 1 year ago
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