EFFECT OF MATURITY ON DURATION Current date Maturity, in years Maturity date YTM Coupon Face value Duration 15-Jul-07 21 21-May-28 =DATE (2007+B3,5,21) 9% 4% 1,000 12.0900917 DURATION(B2, B4, B6, B5,1,0) Team Deliverables: 1. Calculate the duration 2. Sensitivity analysis 3. Make the chart (see the demo) 4. Summarize your findings. Data table on maturity 10 15 50522232425262 70 #N/A Duration Effect of Maturity on Duration Coupon rate = 4.00%, Yield to Maturity = 8.50% 15.00 13.00 11.00 9.00 7.00 5.00 3.00 0 20 40 60 80 Maturity Raising the maturity of the bond does not always raise the duration, as you can see in the above example.
EFFECT OF MATURITY ON DURATION Current date Maturity, in years Maturity date YTM Coupon Face value Duration 15-Jul-07 21 21-May-28 =DATE (2007+B3,5,21) 9% 4% 1,000 12.0900917 DURATION(B2, B4, B6, B5,1,0) Team Deliverables: 1. Calculate the duration 2. Sensitivity analysis 3. Make the chart (see the demo) 4. Summarize your findings. Data table on maturity 10 15 50522232425262 70 #N/A Duration Effect of Maturity on Duration Coupon rate = 4.00%, Yield to Maturity = 8.50% 15.00 13.00 11.00 9.00 7.00 5.00 3.00 0 20 40 60 80 Maturity Raising the maturity of the bond does not always raise the duration, as you can see in the above example.
Introduction to Chemical Engineering Thermodynamics
8th Edition
ISBN:9781259696527
Author:J.M. Smith Termodinamica en ingenieria quimica, Hendrick C Van Ness, Michael Abbott, Mark Swihart
Publisher:J.M. Smith Termodinamica en ingenieria quimica, Hendrick C Van Ness, Michael Abbott, Mark Swihart
Chapter1: Introduction
Section: Chapter Questions
Problem 1.1P
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Transcribed Image Text:EFFECT OF MATURITY ON DURATION
Current date
Maturity, in years
Maturity date
YTM
Coupon
Face value
Duration
15-Jul-07
21
21-May-28 =DATE (2007+B3,5,21)
9%
4%
1,000
12.0900917 DURATION(B2, B4, B6, B5,1,0)
Team Deliverables:
1. Calculate the duration
2. Sensitivity analysis
3. Make the chart (see the demo)
4. Summarize your findings.
Data table on maturity
10
15
50522232425262
70
#N/A
Duration
Effect of Maturity on Duration
Coupon rate = 4.00%, Yield to Maturity =
8.50%
15.00
13.00
11.00
9.00
7.00
5.00
3.00
0
20
40
60
80
Maturity
Raising the maturity of the bond does not always raise the duration, as you can see in the above example.
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