Compare duration with exact bond repricing
Build G2:G9 using the fixed 100 redemption and terms in B2:B8 plus decimal yield change B10. Report clean, accrued and dirty prices, Macaulay duration in years, modified duration, the approximate change -modified duration × yield change × dirty price, exact clean-price repricing change, and exact minus approximate. Settlement stays fixed so accrued interest cancels from the price change.
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Build G2:G9 using the fixed 100 redemption and terms in B2:B8 plus decimal yield change B10. Report clean, accrued and dirty prices, Macaulay duration in years, modified duration, the approximate change -modified duration × yield change × dirty price, exact clean-price repricing change, and exact minus approximate. Settlement stays fixed so accrued interest cancels from the price change.
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