Yield Curve and Forward Rates

Maturity Maturity Years Yield to Maturity Forward Rates

1 month 3.00%
3 months 3.10%
6 months 3.20%
1 year 3.50%
2 years 4.50%
3 years 5.10%
4 years 5.70%
5 years 6.10%
10 years 7.30%
15 years 7.90%
20 years 8.20%
25 years 8.30%
30 years 7.90%
Bond Pricing Using Yield to Maturity

Annual coupon rate (C)

Yield to maturity (y)
Remaining life in Years
Face value
Calculated bond price

Coupon payment frequency (f)

Remaining coupons
Discount rate/period
Coupon amount/period

Remaining life in Years Bond price

Bond Pricing Using the Yield Curve

Annual coupon rate

Remaining life in Years
Face value

Calculated bond price

Calculated yield to maturity

Time (yr) Yield Curve Bond CF PV

0
1 1.0%
2 2.2%
3 3.1%
4 4.0%
5 4.5%
6 5.0%
7 5.3%
8 5.5%
9 5.7%
10 5.9%
Bond Duration and Its Dependence on Yield to Maturity

Annual coupon rate (C)

Yield to maturity (y)
Remaining life in Years
Face value
Calculated bond price

Coupon payment frequency (f)

Remaining coupons
Discount rate/period
Coupon amount/period

Today's date
Maturity date
Duration
Modified duration

YTM Modified duration

Dependence of Bond Duration on Remaining Life

Annual coupon rate (C)

Yield to maturity (y)
Remaining life in Years
Face value
Calculated bond price

Coupon payment frequency (f)

Remaining coupons
Discount rate/period
Coupon amount/period

Today's date
Maturity date
Duration
Modified duration

Remaining life in Years Modified duration