Okay, I must be asleep at the wheel, because I can't seem to calculate the duration on the TY (or ZN for the electronic)... C= I assume regular deliverable 4.5%, semi-annual n=10 dividend by 2 Y= 6% as per contract spec P = 108.5 at today's price. Am I missing something? thanks
I think this is what you want: =DURATION(NOW(),NOW()+3652.5,0.06,0.045,2) I believe you can simply ignore the price since that is built into the YTM (which is 4.5% vs the 6% coupon).
Maybe this is the problem. I'm not sure what program/calculator you are using, but it is 10 years and 2 payments per year for a total of 20 payments.