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  • Macaulay Duration Excel Template

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    Nikhita Goel
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    This document provides an example of calculating Macaulay duration for a $1,000 bond that pays 8% coupon semi-annually and matures in 4 years. It lists the cash flows from the bond's coupon payments and principal repayment. It then calculates the present value of each cash flow using the corresponding discount factors and sums them to get the current bond price of $6,079.34. From this, it determines that the Macaulay duration for this bond is 6.07934 years.

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    This document provides an example of calculating Macaulay duration for a $1,000 bond that pays 8% coupon semi-annually and matures in 4 years. It lists the cash flows from the bond's coupon payments and principal repayment. It then calculates the present value of each cash flow using the corresponding discount factors and sums them to get the current bond price of $6,079.34. From this, it determines that the Macaulay duration for this bond is 6.07934 years.

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    22 views2 pages

    Macaulay Duration Excel Template

    Uploaded by

    Nikhita Goel
    This document provides an example of calculating Macaulay duration for a $1,000 bond that pays 8% coupon semi-annually and matures in 4 years. It lists the cash flows from the bond's coupon payments and principal repayment. It then calculates the present value of each cash flow using the corresponding discount factors and sums them to get the current bond price of $6,079.34. From this, it determines that the Macaulay duration for this bond is 6.07934 years.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
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    Macaulay Duration Excel Template

    Prepared by Dheeraj Vaidya, CFA, FRM


    dheeraj@wallstreetmojo.com

    visit - www.wallstreetmojo.com
    A $1,000 value bond pays 8% coupon and matures in four years. Coupon rate is 8% p.a with semi-
    annual payment. We can expect the following cash flows to occur.6 months:$40,1 year:$40,1.5 years:
    $40,2 years:$40,2.5years:$40,3 years:$40,3.5 years:$40,4 years:$1,040

    Coupon Rate 8%
    Maturity Period 6 Months 1 Year 1.5 Year 2 Year 2.5 Year 3 Year 3.5 Year 4 Year
    Discount Factor 0.9615 0.9246 0.8890 0.8548 0.82193 0.7903 0.75992 0.73069
    Cash Flow 40 40 40 40 40 40 40 1040
    Present Value of Cash 38.46 73.96 106.6796 136.77 164.39 189.68 212.78 6079.34
    Flows
    Current Bond Price 6079.34
    Bond Value 1000
    Macaulay Duration 6.07934

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