Professional Documents
Culture Documents
Macaulay Duration Formula Excel Template
Macaulay Duration Formula Excel Template
Visit: www.educba.com
Email: info@educba.com
Let us take the example of two bonds A and B with a similar face value of $100 and a frequency of 2. Bond A has a Coupon o
B has a Coupon of 9% and Yield similar to the coupon at 9%. The maturity of Bond A is in 4 years while Bond B is in 5 years.
value is equal to price like in case of bond B and when the coupon is greater than Yield the price of the bond is higher than f
calculate Macaulay duration using Modified Duration; this is the simplest way to calculate Macaulay duration.
Price is calculated as
BOND A BOND B
Price 103.51 100.00
BOND A BOND B
Modified Duration 3.46 3.96
BOND A BOND B
Macaulay Duratio 3.57 4.13
cy of 2. Bond A has a Coupon of 7% and Yield of 6% on the other hand Bond
ars while Bond B is in 5 years. When Yield is equal to coupon rate face
ce of the bond is higher than face value. In this example we will
caulay duration.
Let us take another example and calculate Macaulay Duration using the longer method. Let us take a Bond A $100 value bon
in four years. The coupon rate is 8% p.a with semi-annual payment. We can expect the following cash flows to occur: 6 mon
2 years: $3, 5 years: $3, 3 years: $3, 5 years: $3, 4 years: $103. Let us now calculate Macaulay Duration using these cash flow
Sum is calculated as
Sum 100
Particular Date/Value
Settlement Date 3/31/2011
Maturity Date 2/28/2021
Coupon 6%
Yield 8%
Frequency 4