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  • Duration: Bond A Bond B

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    Jai Deep
    13 views6 pages
    This document provides calculations for duration measures of two bonds, Bond A and Bond B. It includes the Macaulay duration, modified duration, and dollar duration for each bond. Bond A has a coupon of 6.5%, face value of $100, maturity of 4 years, and yield of 6%. Bond B has a coupon of 9%, face value of $100, maturity of 5 years, and yield of 9%. The document shows the calculations for each duration measure using cash flows, present values, and yields for each bond over their term to maturity. It concludes that with a yield of 8%, the Macaulay duration of Bond A is 1.88755 years and Bond B is 4.15418 years. Similarly, the

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    Duration

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    Duration

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    This document provides calculations for duration measures of two bonds, Bond A and Bond B. It includes the Macaulay duration, modified duration, and dollar duration for each bond. Bond A has a coupon of 6.5%, face value of $100, maturity of 4 years, and yield of 6%. Bond B has a coupon of 9%, face value of $100, maturity of 5 years, and yield of 9%. The document shows the calculations for each duration measure using cash flows, present values, and yields for each bond over their term to maturity. It concludes that with a yield of 8%, the Macaulay duration of Bond A is 1.88755 years and Bond B is 4.15418 years. Similarly, the

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    © All Rights Reserved
    Download as XLS, PDF, TXT or read online from Scribd
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    13 views6 pages

    Duration: Bond A Bond B

    Uploaded by

    Jai Deep
    This document provides calculations for duration measures of two bonds, Bond A and Bond B. It includes the Macaulay duration, modified duration, and dollar duration for each bond. Bond A has a coupon of 6.5%, face value of $100, maturity of 4 years, and yield of 6%. Bond B has a coupon of 9%, face value of $100, maturity of 5 years, and yield of 9%. The document shows the calculations for each duration measure using cash flows, present values, and yields for each bond over their term to maturity. It concludes that with a yield of 8%, the Macaulay duration of Bond A is 1.88755 years and Bond B is 4.15418 years. Similarly, the

    Copyright:

    © All Rights Reserved
    Download as XLS, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 6

    Duration

    DURATION
    BOND A
    Coupon
    Face value
    Frequency
    Maturity
    Yield
    Price
    Macaulay Dur
    Modified Dur
    Dollar Dur

    BOND B
    6.50%
    100
    2
    4
    6.00%

    101.755
    3.590
    3.486
    3.547

    Coupon
    Face value
    Frequency
    Maturity
    Yield
    Price
    Difference, A&B
    Macaulay Dur
    Modified Dur
    Dollar Dur

    Ian Giddy

    Page 1

    9.00%
    100
    2
    5
    9.00%
    100.000
    1.755
    4.134
    3.956
    3.956

    Duration

    Page 2

    Duration

    Page 3

    Duration

    Page 4

    Duration - The Long Way

    DURATION, THE LONG WAY


    MACAULAY DURATION
    Yield
    Bond A

    Bond B

    0.08
    Time (year)
    0.5
    1
    1.5
    Cash-Flows
    4
    4
    4
    PV of CFs
    3.84615 3.6982 3.556
    Price
    100
    Weighted CFs
    4
    8
    12
    PV of weighted CFs
    3.84615 7.3964 10.668
    Sum of weight. CFs 377.509
    Semiannual duration 3.77509
    Macaulay duration 1.88755
    Time (year)
    Cash-Flows
    PV of CFs
    Price
    Weighted CFs
    PV of weighted CFs
    Sum of weight. CFs
    Semiannual duration

    2
    104
    88.9

    2.5

    3.5

    416
    355.6

    0
    0

    0
    0

    0
    0

    0.5
    1
    1.5
    2
    2.5
    3
    3.5
    4.5
    4.5
    4.5
    4.5
    4.5
    4.5
    4.5
    4.32692 4.1605 4.0005 3.8466 3.6987 3.5564 3.4196
    104.055
    4.5
    9
    13.5
    18
    22.5
    27
    31.5
    4.32692 8.321 12.001 15.386 18.493 21.338 23.937
    864.529
    8.30835

    With a yield of 8.00%


    Bond A's Macaulay duration is 1.88755
    Bond B's Macaulay duration is 4.15418

    MODIFIED DURATION (Same inputs as Macaulay's).


    With a yield of 8.00%
    Bond A's Modified duration is 1.81495
    Bond B's Modified duration is
    3.9944

    DOLLAR DURATION (Same inputs as Macaulay's)


    With a yield of 8.00%
    Bond A's Dollar duration is
    181.495
    Bond B's Dollar duration is
    415.639

    Page 5

    Duration - The Long Way

    4.5

    0
    0

    0
    0

    0
    0

    4
    4.5
    5
    4.5
    4.5 104.5
    3.2881 3.1616 70.596
    36
    40.5
    1045
    26.305 28.455 705.96

    Page 6

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