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  • Bond Duration

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    Tan Wl
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    This document contains information about calculating Macaulay duration for a bond. It provides the face value, coupon rate, discount rate, cash flows over 10 years, present value of cash flows, time weights, and calculates the Macaulay duration as 4.792 years. It also includes a table showing the calculation steps.

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    Bond Duration(2)

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    This document contains information about calculating Macaulay duration for a bond. It provides the face value, coupon rate, discount rate, cash flows over 10 years, present value of cash flows, time weights, and calculates the Macaulay duration as 4.792 years. It also includes a table showing the calculation steps.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    6 views1 page

    Bond Duration

    Uploaded by

    Tan Wl
    This document contains information about calculating Macaulay duration for a bond. It provides the face value, coupon rate, discount rate, cash flows over 10 years, present value of cash flows, time weights, and calculates the Macaulay duration as 4.792 years. It also includes a table showing the calculation steps.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 1

    Macaulay Duration

    Face Value = 100


    N = 10
    Coupon = 1.875%
    Discount rate =
    2.5% per year

    0 1 2 3 4 5 6 7 8 9 10
    Cash flows 0.9375 0.9375 0.9375 0.9375 0.9375 0.9375 0.9375 0.9375 0.9375 100.9375
    Discount rate 1.25% 1.25% 1.25% 1.25% 1.25% 1.25% 1.25% 1.25% 1.25% 1.25%
    PV of cashflows 0.926 0.914 0.903 0.892 0.881 0.870 0.859 0.849 0.838 89.146
    Price 97.080
    Time weights 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5
    Time x PV of CF 0.463 0.914 1.355 1.784 2.203 2.610 3.008 3.395 3.772 445.730
    0.005 0.009 0.014 0.018 0.023 0.027 0.031 0.035 0.039 4.591
    Macaulay Durati 4.792

    0.95% 0.94% 0.93% 0.92% 0.91% 0.90% 0.89% 0.87% 0.86% 91.83%
    4.792 0.0048 0.0094 0.0140 0.0184 0.0227 0.0269 0.0310 0.0350 0.0389 4.5914

    Find the Value of a Bond

    Settlement Da ###
    Maturity Date ###
    Annual Coupon 0.01875
    Yield to Maturi 0.01875
    Redemption 100
    Coupon Paymen 2
    Basis 0

    Bond Price =

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