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Question 10.8: A 2-year bond with $100 face value pays a $6 coupon each qua...

A 2-year bond with $100 face value pays a $6 coupon each quarter and has 11% yield. Compute the duration.

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Formula (10.2) can be applied directly to find D ≅ 1.6846.

D(y)=\frac{\tau n_1C_1e^{−τn_1y}+\tau n_2C_2e^{−τn_2y}+…+\tau n_2C_Ne^{−τn_Ny}}{P(y)}               (10.2)

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