Question
Consider a 3-year 8% semiannual coupon bond. The YTM of this bond is 6%. Compute the following using Excel a) Macaulay Duration (use Mac Duration
Consider a 3-year 8% semiannual coupon bond. The YTM of this bond is 6%. Compute the following using Excel
a) Macaulay Duration (use Mac Duration =
b) Modified Duration
c) Effective duration (assume a 50 BP change of Yield)
d) Convexity Factor
e ) Effective Convexity Factor (assume a 50 BP change of Yield)
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College Physics
Authors: OpenStax
2nd Edition
171147083X, 978-1711470832
