EFFECT OF MATURITY ON DURATION Current date Maturity, in years Maturity date YTM Coupon Face value Duration 15-Jul-07 21 21-May-28 =DATE (2007+B3,5,21) 9% 4% 1,000 12.0900917 DURATION(B2, B4, B6, B5,1,0) Team Deliverables: 1. Calculate the duration 2. Sensitivity analysis 3. Make the chart (see the demo) 4. Summarize your findings. Data table on maturity 10 15 50522232425262 70 #N/A Duration Effect of Maturity on Duration Coupon rate = 4.00%, Yield to Maturity = 8.50% 15.00 13.00 11.00 9.00 7.00 5.00 3.00 0 20 40 60 80 Maturity Raising the maturity of the bond does not always raise the duration, as you can see in the above example.

Introduction to Chemical Engineering Thermodynamics
8th Edition
ISBN:9781259696527
Author:J.M. Smith Termodinamica en ingenieria quimica, Hendrick C Van Ness, Michael Abbott, Mark Swihart
Publisher:J.M. Smith Termodinamica en ingenieria quimica, Hendrick C Van Ness, Michael Abbott, Mark Swihart
Chapter1: Introduction
Section: Chapter Questions
Problem 1.1P
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Question
EFFECT OF MATURITY ON DURATION
Current date
Maturity, in years
Maturity date
YTM
Coupon
Face value
Duration
15-Jul-07
21
21-May-28 =DATE (2007+B3,5,21)
9%
4%
1,000
12.0900917 DURATION(B2, B4, B6, B5,1,0)
Team Deliverables:
1. Calculate the duration
2. Sensitivity analysis
3. Make the chart (see the demo)
4. Summarize your findings.
Data table on maturity
10
15
50522232425262
70
#N/A
Duration
Effect of Maturity on Duration
Coupon rate = 4.00%, Yield to Maturity =
8.50%
15.00
13.00
11.00
9.00
7.00
5.00
3.00
0
20
40
60
80
Maturity
Raising the maturity of the bond does not always raise the duration, as you can see in the above example.
Transcribed Image Text:EFFECT OF MATURITY ON DURATION Current date Maturity, in years Maturity date YTM Coupon Face value Duration 15-Jul-07 21 21-May-28 =DATE (2007+B3,5,21) 9% 4% 1,000 12.0900917 DURATION(B2, B4, B6, B5,1,0) Team Deliverables: 1. Calculate the duration 2. Sensitivity analysis 3. Make the chart (see the demo) 4. Summarize your findings. Data table on maturity 10 15 50522232425262 70 #N/A Duration Effect of Maturity on Duration Coupon rate = 4.00%, Yield to Maturity = 8.50% 15.00 13.00 11.00 9.00 7.00 5.00 3.00 0 20 40 60 80 Maturity Raising the maturity of the bond does not always raise the duration, as you can see in the above example.
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