Using page 522 example in the fixed income material:
a semi annual bond paying a 6% coupon and with a yield of 6% which settles on the 11th of April 2014 and with a redemption date of 14 Feb 2022 which uses the 30/360 method to count days gives the following when punched into the bond worksheet:
PRI = 99.990423
AI = 0.95
Dur = 6.183470
The modified duration seems to differ from the textbook which gives annualized duration of 6.126829. Why does the calculator differ? I plan using this worksheet in the exam to help calculate the Macaulay duration. Interestingly enough theBA11 modified dur is correct when the coupon payments are annual (in the other examples). Can someone clarify this please?
best regards
Casius