In: Finance
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.
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.