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In order to find the duration of a 8% coupon bond making annual coupon payments if it has

In order to find the duration of a 8% coupon bond making annual coupon payments if it has

In order to find the duration of a 8% coupon bond making annual coupon payments if it has three years until maturity and a yield to maturity of 10%, we conduct calculations in the following table.

(1) Find the current bond price.

(2) Find the (Macaulay) bond duration.

(3) What is the modified duration?

Time until Period payment Payment 1.0 $80 $80 2.0 3.0 $1.080 Column Sums Payment discounted at 10% weight PMTI(1 y/m) wt discounted pmt/P 72.7273 0.0765 66.1157 0.0696 811.4200 0.8539 $950.26 Timex weight 0.0765 0.1392 2.5617 2.7774

 
Abhinav 03-Dec-2019

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