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Face Value
Coupon Rate
Life in Years
Yield
Frequency
Macaulay Duration
Modified Duration
Convexity
Period
0
1
2
3
4
5
6
7
8
9
10
11
12
$1,000.00
1,000
8.00%
6
8.00%
2
$954.41
1000
8%
6
9%
2
4.88
4.69
27.23
Cash Flow
($1,000.00)
40.00
40.00
40.00
40.00
40.00
40.00
40.00
40.00
40.00
40.00
40.00
1,040.00
If Yield Changes By
Bond Price Will Change By
1.00%
-45.59
-46.93
1.36
-45.56
Duration Calc
38.46
73.96
106.68
136.77
164.39
189.68
212.78
233.82
252.93
270.23
285.82
7,794.97
$954.41
$954.44
$0.03
Convexity Calc
71.12
205.15
394.53
632.25
911.90
1,227.56
1,573.79
1,945.62
2,338.49
2,748.23
3,171.03
93,689.56
Total
9,760.48
108,909.24
-4.56%
-4.69%
0.14%
-4.56%
D Mac=
C=
(
t =1
1
( 1+i )2
CF t
1+i )
VB
t =1
CF t
( 1+ i )
VB
2
(
t
+t )
t