Accounting Fundamentals for Financial Institutions Midterm
usaggwp
duration.xlsDuration
| DURATION | |||||
| BOND A | BOND B | ||||
| Coupon | 6.50% | Coupon | 9.00% | ||
| Face value | 100 | Face value | 100 | ||
| Frequency | 2 | Frequency | 2 | ||
| Maturity | 4 | Maturity | 5 | ||
| Yield | 6.00% | Yield | 9.00% | ||
| Price | 101.755 | Price | 100.000 | ||
| Difference, A&B | 1.755 | ||||
| Macaulay Dur | 3.590 | Macaulay Dur | 4.134 | ||
| Modified Dur | 3.486 | Modified Dur | 3.956 | ||
| Dollar Dur | 3.547 | Dollar Dur | 3.956 | ||
| Ian Giddy |
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Duration - The Long Way
| DURATION, THE LONG WAY | |||||||||||
| MACAULAY DURATION | |||||||||||
| Yield | 0.08 | ||||||||||
| Bond A | Time (year) | 0.5 | 1 | 1.5 | 2 | 2.5 | 3 | 3.5 | 4 | 4.5 | 5 |
| Cash-Flows | 4 | 4 | 4 | 104 | |||||||
| PV of CFs | 3.8461538462 | 3.6982248521 | 3.5559854347 | 88.8996358671 | 0 | 0 | 0 | 0 | 0 | 0 | |
| Price | 100 | ||||||||||
| Weighted CFs | 4 | 8 | 12 | 416 | 0 | 0 | 0 | 0 | 0 | 0 | |
| PV of weighted CFs | 3.8461538462 | 7.3964497041 | 10.6679563041 | 355.5985434684 | 0 | 0 | 0 | 0 | 0 | 0 | |
| Sum of weight. CFs | 377.5091033227 | ||||||||||
| Semiannual duration | 3.7750910332 | ||||||||||
| Macaulay duration is | 1.8875455166 | ||||||||||
| Bond B | Time (year) | 0.5 | 1 | 1.5 | 2 | 2.5 | 3 | 3.5 | 4 | 4.5 | 5 |
| Cash-Flows | 4.5 | 4.5 | 4.5 | 4.5 | 4.5 | 4.5 | 4.5 | 4.5 | 4.5 | 104.5 | |
| PV of CFs | 4.3269230769 | 4.1605029586 | 4.000483614 | 3.8466188596 | 3.6986719804 | 3.5564153658 | 3.4196301594 | 3.2881059225 | 3.1616403101 | 70.5964556423 | |
| Price | 104.0554478897 | ||||||||||
| Weighted CFs | 4.5 | 9 | 13.5 | 18 | 22.5 | 27 | 31.5 | 36 | 40.5 | 1045 | |
| PV of weighted CFs | 4.3269230769 | 8.3210059172 | 12.0014508421 | 15.3864754385 | 18.4933599021 | 21.3384921947 | 23.9374111159 | 26.3048473801 | 28.4547627909 | 705.964556423 | |
| Sum of weight. CFs | 864.5292850813 | ||||||||||
| Semiannual duration | 8.3083519663 | ||||||||||
| With a yield of | 8.00% | ||||||||||
| Bond A's | Macaulay duration is | 1.8875455166 | |||||||||
| Bond B's | Macaulay duration is | 4.1541759832 | |||||||||
| MODIFIED DURATION (Same inputs as Macaulay's). | |||||||||||
| With a yield of | 8.00% | ||||||||||
| Bond A's | Modified duration is | 1.8149476121 | |||||||||
| Bond B's | Modified duration is | 3.9943999838 | |||||||||
| DOLLAR DURATION (Same inputs as Macaulay's) | |||||||||||
| With a yield of | 8.00% | ||||||||||
| Bond A's | Dollar duration is | 181.4947612128 | |||||||||
| Bond B's | Dollar duration is | 415.639079366 |
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