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

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