ch11duration_tabulator_i

ch11duration_tabulator_i - Du 3 2 1 Durtab 10 yr 0 0.04...

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Durtab 10 yr Page 1 Price Table Coupon 1147.2 0.05 0.06 0.07 0.08 0.09 0.1 YTM 0.05 1000 1077.22 1154.43 1231.65 1308.87 1386.09 0.06 926.4 1000 1073.6 1147.2 1220.8 1294.4 0.07 859.53 929.76 1000 1070.24 1140.47 1210.71 0.08 798.7 865.8 932.9 1000 1067.1 1134.2 0.09 743.29 807.47 871.65 935.82 1000 1064.18 0.1 692.77 754.22 815.66 877.11 938.55 1000 Duration Table Coupon 7.45 0.05 0.06 0.07 0.08 0.09 0.1 YTM 0.05 8.11 7.89 7.71 7.54 7.4 7.27 0.06 8.02 7.8 7.61 7.45 7.3 7.17 0.07 7.94 7.71 7.52 7.35 7.2 7.07 0.08 7.85 7.62 7.42 7.25 7.1 6.97 0.09 7.75 7.52 7.32 7.15 7 6.86 0.1 7.66 7.42 7.22 7.04 6.89 6.76 A B C D E F G H I 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66
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Page 2 Duration Example: Using Data Tables Bond Coupon Rate 0.06 Par Value 10 0 Years Mat 20 YTM 0.07 Bond Price Years C Flow PVCF PVCF(t) 1 5 51.4019 51.4019 2 5 48.0391 96.0783 3 5 4 .8964 134.6891 4 5 41.9592 167.8369 5 5 39.2142 196.0712 6 5 36.648 219.8929 7 5 34.2512 239.7587 8 5 32.0105 256.0840 9 5 29.9164 269.2472 10 5 27.9592 279.5921 1 5 26.1301 287.431 12 5 24.4207 293.0479 13 5 2 .8230 296.69 6 14 5 21.329 298.6193 15 5 19.9345 29 .0180 16 5 18.6304 298.0864 17 5 17.41 6 295.9 71 18 5 16.2725 292.9053 19 5 15.2080 28 .9512 20 105 272.6320 5452.6410 Sum 841.09 10 14.0491 Price 841.09 Duration 1 .91 YTM Price YTM Duration 841.090 1 .9060 0.0 5 1949.371 0.0 5 14.8219 0.010 1812.050 0.010 14.615 0.015 1686.746 0.015 14.4050 0.020 1572.30 0.020 14.1905 0.025 1467.675 0.025 13.9725 0.030 1371.937 0.030 13.751 0.035 1284.248 0.035 13.5269 0.040 1203.85 0.040 13.30 0 0.045 1 30.079 0.045 13.0709 0.050 1062.31 0.050 12.840 0.05 10 0.0 0 0.05 12.607 0.060 942.650 0.060 12.3743 0.065 8 9.815 0.065 12.1403 0.070 841.090 0.070 1 .9060 0.075 796.1 0 0.075 1 .6720 0.080 754.546 0.080 1 .4385 0.085 716.10 0.085 1 .2060 0.090 680.501 0.090 10.9749 0.095 647.505 0.095 10.745 0.10 616.890 0.10 10.5181 0.105 58 .45 0.105 10.2931 0.1 0 562.017 0.1 0 10.0708 0.0 5 0.010 0.015 0.020 0.025 0.030 0.035 0.040 0.045 0.050 0.0 0.0 0 10 .0 0 20 .0 0 30 .0 0 40 .0 0 50 .0 0 60 .0 0 70 .0 0 80 .0 0 90 .0 0 Yeild to Maturity Yeild to M Price 0.0 5 0.010 0.015 0.020 0.025 0.030 0.035 0.040 0.045 0.050 0.0 0.0 0 2.0 0 4.0 0 6.0 0 8.0 0 10.0 0 12.0 0
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This note was uploaded on 10/28/2009 for the course MBA MBA608 taught by Professor Martin during the Spring '09 term at Beirut Arab University.

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ch11duration_tabulator_i - Du 3 2 1 Durtab 10 yr 0 0.04...

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