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Using the following yield curve, calculate the Duration of: 8.25 year coupon bond paying a semiannual coupon of 4.85% annually 4.5 year floating rate coupon
Using the following yield curve, calculate the Duration of:
8.25 year coupon bond paying a semiannual coupon of 4.85% annually
4.5 year floating rate coupon bond paying a semiannual coupon with a spread of 75 basis points 0.75%
7.25 year floating rate coupon bond paying a semiannual coupon with a spread of 75 basis points 0.75% . Thr coupon determined at the last reset date was 4.50% annually.
t | Z |
0.25 | 0.9891 |
0.5 | 0.9798 |
0.75 | 0.9713 |
1 | 0.9633 |
1.25 | 0.9553 |
1.5 | 0.9473 |
1.75 | 0.9392 |
2 | 0.931 |
2.25 | 0.9227 |
2.5 | 0.9143 |
2.75 | 0.9059 |
3 | 0.8973 |
3.25 | 0.8888 |
3.5 | 0.8801 |
3.75 | 0.8714 |
4 | 0.8627 |
4.25 | 0.8538 |
4.5 | 0.845 |
4.75 | 0.8361 |
5 | 0.8272 |
5.25 | 0.8182 |
5.5 | 0.8093 |
5.75 | 0.8003 |
6 | 0.7913 |
6.25 | 0.7823 |
6.5 | 0.7733 |
6.75 | 0.7643 |
7 | 0.7554 |
7.25 | 0.7465 |
7.5 | 0.7376 |
7.75 | 0.7287 |
8 | 0.7199 |
8.25 | 0.7111 |
8.5 | 0.7024 |
8.75 | 0.6938 |
9 | 0.6852 |
9.25 | 0.6767 |
9.5 | 0.6683 |
9.75 | 0.6599 |
10 | 0.6516 |
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