Question

Find the duration of a 7% coupon bond making annual coupon payments if it has three years until maturity and a yield to maturity of 7.4%. What is the duration if the yield to maturity is 11.4%? (Do not round intermediate calculations. Round your answers to 4 decimal places.) Duration YTM 7.4% YTM 11.4% YTM

Answer 1

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

Annual Coupon rate Settlement date Maturity date 7% 1/1/2020 1/1/2023 -Nm to 000 YTM 7.40% 11.40% Duration 2.8069 2.7962

Cell reference -

А B Annual Coupon rate Settlement date Maturity date 0.07 =DATE(2020,1,1) =DATE(2023,1,1) YTM 0.074 Duration =DURATION(C3,C4,C2,B7,1,3) =DURATION(C3,C4,C2,18,1,3) | 0.114

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