Bond T is a zero coupon bond and has 11 years until maturity. If the yield to maturity is 10%, the Macaulay duration of this bond is years and modified duration is years. Assume annual compounding.

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05-12-2022
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Bond T is a zero coupon bond and has 11 years until maturity. If the yield to maturity is 10%, the Macaulay duration of this bond is years and modified duration is years. Assume annual compounding.

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Contexto1212idn Contexto1212idn · Answer 1 · 2022-12-07T23:05:54-05:00

11 years , The Macaulay duration of a bond is often determined for coupon-bearing bonds sold at par, premium, or discount.

When asked about the Macaulay duration of a zero coupon bond, the response is simply the bond's time to maturity, or bond duration. The time to maturity in this case is 11 years, which is the Macauly duration.

The computation of Macaulay duration is complicated and has several variations, but the basic version is calculated by adding the coupon payment per period multiplied by the time to maturity, divided by one, plus the yield per period raised to the time to maturity.

Learn more about to Macaulay duration visit here;

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