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Consider an annual coupon bond with exactly 5 years until maturity. The bond just paid its most recent coupon, so the next coupon will be

Consider an annual coupon bond with exactly 5 years until maturity. The bond just paid its most recent coupon, so the next coupon will be paid in exactly 1 year. The bond has a YTM of 8%.

  • Calculate the coupon bonds duration for each possible coupon rate in (1%,2%,3%.....10%).
  • Is there any systematic relationship between the coupon rate and duration? Why?

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