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Find the duration of a 6% coupon bond making annual coupon payments if it has three years until maturity and a yield to maturity of 7.9%. What is the duration if the yield to maturity is 11.9%

Respuesta :

Tundexi

Answer:

Duration of the bond = 2.83 years

Explanation:

PMT = 1000*6% = 60

YTM = 7.90%

Year    PMT        PV of PMT            Weight               Year*Weight

1             60     55.60704356    0.05847545953    0.05847545953

2            60     51.53572156      0.05419412375      0.1083882475

3          1060    843.8039056    0.8873304167       2.66199125

            Sum    950.9466707                                   2.82885495703

Duration of the bond = 2.82885495703

Duration of the bond = 2.83 years

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