If coupon rate is 10%, the bond duration is 2.824 years. As shown in the following figure
Extended data:
There are different ways to calculate the duration. Let me introduce the simplest one first, which is the average duration (also called Macaulay duration). This method of calculating the duration is to average the repayment period of bonds by weight, and the weight is the ratio of discounted cash flow (interest payment) to market price in the corresponding repayment period, namely:
D= 1×w 1+2×w2+？ +n×wn
Among them:
Ci- Cash flow in the first year (interest or principal paid);
Y- bond yield to maturity;
P- current market price.
Example: The face value of a bond is 65,438+000 yuan, and the coupon rate is 5%. The interest is paid annually with a term of 2 years. If yield to maturity is 6%, what is the maturity of the bond?
Answer: Step 1, calculate the bond price: use the financial calculator N=2, I/y=6, PMT=5, FV= 100, CPTPV=? PV=98. 17 .
Step 2, calculate w 1 and w2 respectively:
w 1 = 4.72/98. 17 = 0.048 1
w2 = 93.45/98. 17 = 0.95 19
Step 3, calculate the value of d:
d = 1×0.048 1+2×0.95 19 = 1.95 19
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