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A bond has a coupon rate of 9%, term to maturity of 5 years and par value of RM1,000. The coupon is paid once
A bond has a coupon rate of 9%, term to maturity of 5 years and par value of RM1,000. The coupon is paid once a year and the market interest rate is 8%. (a) Compute the Macaulay duration for this bond. (b) Compute the modified duration for this bond.
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SOLUTION A To compute the Macaulay duration and modified duration of a bond we need to use the following formulas Macaulay Duration C t C t Cn tn P tn C C Cn P Modified Duration Macaulay Duration 1 r ...
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Fixed Income Analysis
Authors: Barbara S. Petitt
5th Edition
1119850541, 978-1119850540
