ALL WORK MUST BE SHOWN IN EXCEL AND STORED IN A MS EXCEL FILE
1. Consider a U.S. 30-year corporate bond with the following characteristics:
Settlement date: May 5, 2017
Maturity date: March 15, 2047
Coupon: 3.25%
Yield: 4.56%
Frequency: ?
Basis: actual / actual
a. Find Macaulay duration and modified duration. Make sure to show your work.
b. If the yield decreases by 15 basis points, what is the exact percentage change in the price of the bond? Make sure to show your work.
c. If the yield decreases by 15 basis points, what is the duration approximate percentage change in the price of the bond? Make sure to show your work.