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
