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Calculate the duration of the bond

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Reference no: EM133114290

Settlement

11/19/2021

Maturity

11/19/2026

Yield to Maturity

Coupon

Principal

 

3.00%

3.50%

 $100 

 

 Compounding Freq

2.0

 

 

  1. For the same bond above, calculatethe prices of the bond assuming 1) the yield to maturity of the bond goes up 0.01% (price here called P_1) and 2) the yield to maturity of the bond goes down 0.01% (price here called P_2) the duration of the bond by using the formula D = -(P_1 - P2)/P_0/dy, with P_1 and P_2 from step a. and P_0 the price from step 2 of Prob #1 above. Dy is the difference in yield when calculating P_1 an P_2
  2. Calculate the duration of the bond using the MDuration function in Excel and verify you get the same number as in step b

Reference no: EM133114290

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