duration example.xlsx - Settlement date Maturity date Time...

Settlement date 1/1/2020 Date Period CF PV(CF) WD
Maturity date 1/1/2022 1/1/2021 1 $2.0 $1.96 0.019608
Time to maturity 2 1/1/2022 2 $102.0 $98.04 0.980392
Face value $100
Coupon rate 2.0% Price = $100.00
Yield 2.0%
Coupon frequency Annual
Compounding Annual Excell Dura
Excell Mod
Bond price, P 100.00

t WD * t
1 0.019607843137
2 1.960784313725
Mac Duration = 1.980392156863
Mod Duration = 1.941560938101
ation = 1.980392156863
d Duration = 1.941560938101

Settlement date 1/1/2020 Date Period CF PV(CF) WD
Maturity date 1/1/2022 1/1/2021 1 $2.0 $1.98 0.019419
Time to maturity 2 1/1/2022 2 $102.0 $99.99 0.980581
Face value $100
Coupon rate 2.0% Price = $101.97
Yield 1.0%
Coupon frequency Annual
Compounding Annual Excell Dura
Excell Mod
Bond price, P $ 101.97

t WD * t
1 0.019419342434
2 1.961161315132
Mac Duration = 1.980580657566
Mod Duration = 1.960970948085
ation = 1.980580657566
d Duration = 1.960970948085

Settlement date 1/1/2020 Date Period CF PV(CF) WD
Maturity date 1/1/2030 1/1/2021 1 $3.0 $2.91 0.029126
Time to maturity 10 1/1/2022 2 $3.0 $2.83 0.028278
Face value $100 1/1/2023 3 $3.0 $2.75 0.027454
Coupon rate 3.0% 1/1/2024 4 $3.0 $2.67 0.026655
Yield 3.0% 1/1/2025 5 $3.0 $2.59 0.025878
Coupon frequency Annual 1/1/2026 6 $3.0 $2.51 0.025125
Compounding Annual 1/1/2027 7 $3.0 $2.44 0.024393
1/1/2028 8 $3.0 $2.37 0.023682
Bond price, P 100.00 1/1/2029 9 $3.0 $2.30 0.022993
1/1/2030 10 $103.0 $76.64 0.766417
Price = $100.00
Excell Dura
Excell Mod

t WD * t
1 0.029126
2 0.056556
3 0.082363
4 0.106618
5 0.129391
6 0.150747
7 0.170749
8 0.189458
9 0.206933
10 7.664167
Mac Duration = 8.786109
Mod Duration = 8.530203
ation = 8.786109
d Duration = 8.530203

Settlement date 1/1/2020 Date Period CF PV(CF) WD
Maturity date 1/1/2030 1/1/2021 1 $3.0 $2.93 0.028041
Time to maturity 10 1/1/2022 2 $3.0 $2.86 0.027357
Face value $100 1/1/2023 3 $3.0 $2.79 0.02669
Coupon rate