Use Excel or similar for this exercise. Consider a 30 year bond paying 3 percent coupons...

Use Excel or similar for this exercise.
Consider a 30 year bond paying 3 percent coupons semi-annually and a yield-to-maturity equal to 5 percent. Find the price and duration.
Try a few different coupon rates and see how the price and duration change. Make a graph with duration on the y-axis and coupon rate on the x-axis.
Now vary the ytm instead and graph duration against ytm. Also graph duration against par, and duration against T.

Solutions

Expert Solution

Please refer to below spreadsheet for calculation and answer. Cell reference also provided.

Cell reference -

Please note- Par value has no impact on Duration.

Hope this will help, please do comment if you need any further explanation. Your feedback would be appreciated.

jeff jeffy answered 10 months ago

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