Question

Find both the Macaulay and Modified duration of a bond with a settlement date of May 27, 2020, and maturity date November 15, 2031. The coupon rate of the bond is 5.5%, and the bond pays coupons semiannually. The bond is selling at a bond -equivalent yield to maturity of 6.5%.

Answer 1

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

M2U в с р Settlement date Maturity date Coupon rate Yield to maturity Coupon frequency 5/27/2020 11/15/2031 5.50% 6.50% moo FM Macaulay Duration Modified Duration 8.4983 8.2308

Cell reference -

в Settlement date Maturity date Coupon rate Yield to maturity Coupon frequency =DATE(2020,5,27) =DATE(2031,11,15) 0.055 0.065 Macaulay Duration Modified Duration =DURATION(C2,C3,C4,C5, C6,3) =MDURATION(C2,C3,C4,C5,C6,3) |

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