As I am working on eg6 of Reading 20 AYCS - “Positioning for Changes in Curvature and Slope”. I have a question of how the duration in the table provided in the first place.
For eg, they provided this information:
| maturity | 5 year | |----------|--------| | coupon | 1.5 | | price | 100 | | YTM | 1.5 | | Duration | 4.80 | | PVBP/$M | 480 |
As PVBP is calculated on top of modified duration which I am assuming is based on the Duration in teh table. Also, as the coupon rate is the same as the YTM, and priced at par, the duration actually should be easy to calculate.
However, the Macaulay Duration I calculated is 4.85 and the Modified Duration is devide by (1+YTM) and it is 4.78, nothing matches the 4.80 in the example.
Was the difference caused by the different precision used by CFAI or I need to made any mistake any where? Thanks.