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Find the duration of a bond with settlement date May 27, 2018, and maturity date November 15, 2027. The coupon rate of the bond is 7%, and the bond pays coupons semiannually. The bond is selling at a yield to maturity of 8%. (Do not round intermediate calculations. Round your answers to 4 decimal places.)

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Answer:

Macaulay duration 6.9659

Modified duration 6.6980

Explanation:

Calculation to Find the duration of a bond with settlement date.

Based on the information given we would Find the duration of a bond with settlement date using Excel

Macaulay duration =duration(settlement,maturity,coupon,yield frequency)

Where,

Settlement date o= 5/27/2018

Maturity date = 11/15/2027

Coupon rate =7.0%

Yield to maturity=8.0%

Frequency =2 years

=Macaulay duration(5/27/2018 ,11/15/2027 ,0.07,0.08,2)

Macaulay duration= 6.9659

Therefore Macaulay duration is 6.9659

Modified duration=mduration((settlement,maturity,coupon,yield frequency)

Where,

Settlement date o= 5/27/2018

Maturity date = 11/15/2027

Coupon rate =7.0%

Yield to maturity=8.0%

Frequency =2 years

Modified duration=mduration(5/27/2018 ,11/15/2027,0.07,0.08,2)

Modified duration=mduration= 6.6980

Therefore Modified duration is 6.6980

Summary:

Settlement date 5/27/2018

Maturity date 11/15/2027

coupon rate 0.07

yield to maturity 0.08

nper 2

Macaulay duration 6.9659

Modified duration 6.6980

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