excel

Table 18-1 An Example of Calculating the Duration of a Bond with a 5 Percent Coupon, Five-Year Maturity. Currently Priced at $974.17 for a YTM of 5.6 Percent (1) Periods (2) Cash Flow (CF) (3) PV of CFs (4) Weighted PV of CFS (weighted by price) (3) / Price of the Bond (5) Weighted Average of Time Periods (1) X (6 0.5 25 25 1.5 25 24.319 23.657 23.012 22.386 21.776 2 25 0.012 0.024 0.035 0.046 0.056 2.5 25 3 25 0.025 0.024 0.024 0.023 0.022 0.022 0.021 0.021 0.020 0.798 1.000 21.183 20.606 3.5 4 25 25 0.065 0.074 0.082 0.090 45 5 20.044 19.499 777.665 25 1025 3.991 4.477 1 A shortcut formula can be used for common hondo li From the projected liability. equal to the Spreadsheet exercises 18-1, 18-2 (p. 502-503) 1)Given a 10 percent, three-year bond with a price of $1,052.24, with a market yield of 8 percent, calculate its duration using the format illustrated in Table 18-1. 2)Using the duration from Problem 18-1, determine a. The modified duration b. The percentage change in the price of the bond if r changes 0.50 percent