A Treasury bond that settles on October 18, 2019, matures on March 30, 2038. The coupon rate is 5.35 percent, and the bond has a yield to maturity of 4.52 percent. What are the Macaulay duration and modified duration? (Use the duration functions in Excel to solve the problem. Do not round intermediate calculations, Round your answers to 4 decimal places.) Answer is not complete. Macaulay duration Modified duration 12.2800
A Treasury bond that settles on October 18, 2019, matures on March 30, 2038. The coupon rate is 5.35 percent, and the bond has a yield to maturity of 4.52 percent. What are the Macaulay duration and modified duration? (Use the duration functions in Excel to solve the problem. Do not round intermediate calculations, Round your answers to 4 decimal places.) Answer is not complete. Macaulay duration Modified duration 12.2800
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
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Transcribed Image Text:### Bond Duration Calculation
A Treasury bond that settles on October 18, 2019, matures on March 30, 2038. The coupon rate is 5.35 percent, and the bond has a yield to maturity of 4.52 percent. We need to determine the Macaulay duration and modified duration of the bond. (Use the duration functions in Excel to solve the problem. Do not round intermediate calculations. Round your answers to 4 decimal places.)
**Table: Duration Results**
| Duration Type | Value |
|----------------------|----------|
| Macaulay Duration | 12.2600 |
| Modified Duration | |
**Notes:**
- The Macaulay duration has been calculated as 12.2600 years.
- The modified duration is not provided in the table and needs to be calculated.
### Explanation:
- **Macaulay Duration:** This measures the weighted average time until the bond's cash flows are paid.
- **Modified Duration:** This reflects the percentage change in the bond's price for a 1% change in yield, derived from the Macaulay duration.
For precise calculation, use Excel functions and ensure answers are rounded to four decimal places.
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