I was trying to calculate the duration in the inbuilt function "BOND" given in the new texas BA II pls pro. Here is the question: $1000 Par, 4% semiannual, 10 years to maturity, 6% yield..
In case using the formula =( V(-20bps) - V(+20bps))/(2*V(0)*delta Y) gives the result 7.93
But now when i try using this by directly using the bond worksheet..
Inputing the following values =
SDT = 12-31-1990
CPN = 40
RDT = 12-31-2000
RV = 1000
Actual
2/y
YLD = 6
I get the price of the bond to be 851.23, this is correct. But the duration comes to be 5.42.
Is there something wrong in my calculations above/ or some difference in these two durations. Any one please suggest.
In case using the formula =( V(-20bps) - V(+20bps))/(2*V(0)*delta Y) gives the result 7.93
But now when i try using this by directly using the bond worksheet..
Inputing the following values =
SDT = 12-31-1990
CPN = 40
RDT = 12-31-2000
RV = 1000
Actual
2/y
YLD = 6
I get the price of the bond to be 851.23, this is correct. But the duration comes to be 5.42.
Is there something wrong in my calculations above/ or some difference in these two durations. Any one please suggest.