Answer:
Explanation:
What is given:
Semiannual coupon payments [7.6%*100/2 = 3.8]
n = 3*2 = 6 periods
YTM =6%; 12%
Calculations:
YTM = 6%
Cash-flows during periods 1-5 = 3.8 and pays 103.8 at the end
PV of CF1 = 3.68932
PV of CF2 = 3.581864
PV of CF3 = 3.477538
PV of CF4 = 3.376251
PV of CF5 = 3.277913
PV of CF6 = 86.93087
Price(Total of CFs) = 104.3338
Weighted CF1 =3.8
Weighted CF1 = 2*3.8 = 7.6
Weighted CF2 = 3*3.8 = 11.4
Weighted CF3 = 4*3.8 = 15.2
Weighted CF4 = 5*3.8 = 19
Weighted CF5 = 6* 103.8 = 622.8
PV of Weighted CF1 = 3.68932
PV of Weighted CF2 = 7.163729
PV of Weighted CF3 = 10.43261
PV of Weighted CF4 = 13.505
PV of Weighted CF5 = 16.38957
PV of Weighted CF6 = 521.5852
Sum of weighted CFs = 572.7654
Duration 2.744871
YTM = 12%:
PV of CF1 = 3.584906
PV of CF2 = 3.381986
PV of CF3 = 3.190553
PV of CF4 = 3.009956
PV of CF5 = 2.839581
PV of CF6 = 73.1749
Price(Total of CFs) = 89.18189
Weighted CF1 =3.8
Weighted CF1 = 2*3.8 = 7.6
Weighted CF2 = 3*3.8 = 11.4
Weighted CF3 = 4*3.8 = 15.2
Weighted CF4 = 5*3.8 = 19
Weighted CF5 = 6* 103.8 = 622.8
PV of Weighted CF1 = 3.584906
PV of Weighted CF2 = 6.763973
PV of Weighted CF3 = 9.57166
PV of Weighted CF4 = 12.03982
PV of Weighted CF5 = 14.19791
PV of Weighted CF6 = 439.0494
Sum of weighted CFs = 485.2077
Duration 2.720326
