Duration Excel Project
Please use Excel to complete the problem below.
Duration
- What is the duration of a 5-year, 5% semi-annual bond if the market rate on bonds of similar quality is 5.1%?
- Now suppose that the yield to maturity has changed to 5.05%.Using Macaulay duration, what is the approximate percent change in the price of the bond? (You do not need to recalculate Macaulay duration using 5.81%.Use the duration value that you found in Problem 1.)
Do the problem including convexity