How would the duration of a coupon bond change with respect to time. Would you use the original price, and yield to determine the new duration, or would you have to calculate a new price for the new yield. For example suppose bought a 10 year 10% coupon bond paying annually to yield 12%. Then 2 years pass and the market yield drops to 8%, and I want to calculate the bond's duration. Would I discount the cashflows at 12% or 8%, and what price would I use?
You use the current price and current YTM.
If a new issue came out with the same price/coupon/YTM, to a buyer the two look identical. Why would you accept a duration that maintains a value that’s nothing more than an historic echo?