Calculate the duration, FINC 6362

Calculate the duration

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Reference no: EM131667720

Financial Institutions/Money Project - Duration

Part 1: Duration and Coupon Interest

Consider a five-year $1,000 face value, Treasury bond with a 10 yield to maturity selling at par.

A) Calculate the duration if the semiannual coupon is 10%.

B) Calculate the duration if the semiannual coupon is 12%.

C) Calculate the duration if the semiannual coupon is 14%.

D) Plot the relationship between coupon interest rate (x-axis) and the duration (y-axis). Be sure to label the y-axis, x-axis, and chart title.

In your report, identify and comment on the relationship between duration and coupon interest rate.

Part 2: Duration and Rate of Return

Consider a five-year $1,000 face value, Treasury bond with a 10 percent semiannual coupon selling at par.

E) Calculate the duration if the yield to maturity is 10%.

F) Calculate the duration if the yield to maturity is 12%.

G) Calculate the duration if the yield to maturity is 14%.

H) Plot the relationship between yield to maturity (x-axis) and the duration (y-axis). Be sure to label the y-axis, x-axis, and chart title.

In your report, identify and comment on the relationship between duration and yield to maturity.

Part 3: Duration and Maturity

Consider a $1,000 face value, Treasury bond with a 10 percent semiannual coupon selling at par with a 10 percent yield to maturity.

I) Calculate the duration if the maturity is in five years.

J) Calculate the duration if the maturity is in four years.

K) Calculate the duration if the maturity is in three years.

L) Plot the relationship between maturity (x-axis) and the duration (y-axis). Be sure to label the y-axis, x-axis, and chart title.

In your report, identify and comment on the relationship between duration and maturity.

Attachment:- Assignment.rar

Reference no: EM131667720

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len1667720

10/3/2017 6:30:32 AM

Topic: Financial Institutions and Markets. The goal of this project is to explore the topic of duration. The project requires you to work in Excel with the provided spreadsheet. Be sure to fill in the yellow boxes in the Excel file and follow all instructions for full credit. In addition, type up a 1-2 page report in Word with a separate section for the introduction (description of the project), findings (answer assignment questions, plots, etc.), and conclusion (summary). Upon completion, please submit both your Word report and Excel file to blackboard. This is an individual project so be sure to submit your own work. Each question (A, B, C, D, E, F, G, H, I, J, K, and L) is worth 5 points (total of 60 points), the report 10 points, and the Excel file 5 points.

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