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    Bond Duration - Basics

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    api-3763138
    The document provides information and calculations to determine the duration of a bond. It lists the inputs like coupon rate, yield to maturity, and number of periods. It then shows the cash flows and present values for each period to calculate duration as 3.65 years using the cash flows. It also calculates duration as 3.65 years using a formula and confirms this using a function.

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    Bond Duration - Basics

    Uploaded by

    api-3763138
    71 views2 pages
    The document provides information and calculations to determine the duration of a bond. It lists the inputs like coupon rate, yield to maturity, and number of periods. It then shows the cash flows and present values for each period to calculate duration as 3.65 years using the cash flows. It also calculates duration as 3.65 years using a formula and confirms this using a function.

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    The document provides information and calculations to determine the duration of a bond. It lists the inputs like coupon rate, yield to maturity, and number of periods. It then shows the cash flows and present values for each period to calculate duration as 3.65 years using the cash flows. It also calculates duration as 3.65 years using a formula and confirms this using a function.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLS, PDF, TXT or read online from Scribd
    Download as xls, pdf, or txt
    71 views2 pages

    Bond Duration - Basics

    Uploaded by

    api-3763138
    The document provides information and calculations to determine the duration of a bond. It lists the inputs like coupon rate, yield to maturity, and number of periods. It then shows the cash flows and present values for each period to calculate duration as 3.65 years using the cash flows. It also calculates duration as 3.65 years using a formula and confirms this using a function.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLS, PDF, TXT or read online from Scribd
    Download as xls, pdf, or txt
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    BOND DURATION Basics Annual Percentage Rate

    Inputs
    Rate Convention: 1 = EAR, 0 = APR 0
    Annual Coupon Rate (CR) 5.0%
    Yield to Maturity (Annualized) (y) 9.0%
    Number of Payments / Year (NOP) 2
    Number of Periods to Maturity (T) 8
    Face Value (FV) $1,000

    Outputs
    Discount Rate / Period (RATE) 4.5%
    Coupon Payment (PMT) $25

    Calculate Bond Duration using the Cash Flows


    Period 0 1 2 3 4 5 6 7
    Time (Years) 0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5
    Cash Flows $25.00 $25.00 $25.00 $25.00 $25.00 $25.00 $25.00
    Present Value of Cash Flow $23.92 $22.89 $21.91 $20.96 $20.06 $19.20 $18.37
    Weight 2.8% 2.6% 2.5% 2.4% 2.3% 2.2% 2.1%
    Weight * Time 0.01 0.03 0.04 0.05 0.06 0.07 0.07
    Duration 3.65
    Modified Duration 3.49

    Calculate Bond Duration using the Formula


    Duration 3.65
    Modified Duration 3.49

    Calculate Bond Duration using the Function (under APR)


    Duration 3.65
    Modified Duration 3.49
    8
    4.0 Total
    $1,025.00
    $720.76 $868.08
    83.0% 100.0%
    3.32 3.65

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