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Coupon Rate: 0.07 (annual) FV: 1000.00 YTM: 0.08 Time Cash PV Weights Duration Terms Convexity Terms 1.00 70.00 64.81 0.07 0.07 0.14 2.00 70.00 60.01 0.06 0.13 0.39 3.00 70.00 55.57 0.06 0.18 0.71 4.00 70.00 51.45 0.06 0.22 1.10 5.00 70.00 47.64 0.05 0.26 1.53 6.00 70.00 44.11 0.05 0.28 1.99 7.00 70.00 40.84 0.04 0.31 2.45 8.00 70.00 37.82 0.04 0.32 2.92 9.00 70.00 35.02 0.04 0.34 3.38 10.00 1070.00 495.62 0.53 5.31 58.44 932.90 1.00 7.42 62.63 (Price) (sum) (duration) (convexity) 6.87 (modified duration) Using Excel date 3/18/2011 maturity 3/18/2021 coupon 0.07 YTM 0.08 duration 7.42 modified duration 6.87
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Coupon Rate: 0.05 (annual) FV: 1000.00 YTM: 0.10 Time Cash PV Weights Duration Terms Convexity terms 1.00 50.00 45.45 0.07 0.07 0.15 2.00 50.00 41.32 0.07 0.13 0.40 3.00 50.00 37.57 0.06 0.18 0.73 4.00 50.00 34.15
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Unformatted text preview: 0.06 0.22 1.10 5.00 50.00 31.05 0.05 0.25 1.50 6.00 50.00 28.22 0.05 0.27 1.91 7.00 50.00 25.66 0.04 0.29 2.32 8.00 50.00 23.33 0.04 0.30 2.71 9.00 50.00 21.20 0.03 0.31 3.08 10.00 50.00 19.28 0.03 0.31 3.42 11.00 50.00 17.52 0.03 0.31 3.73 12.00 50.00 15.93 0.03 0.31 4.01 13.00 50.00 14.48 0.02 0.30 4.25 14.00 50.00 13.17 0.02 0.30 4.46 15.00 1050.00 251.36 0.41 6.08 97.35 619.70 1.00 9.65 108.3721 (Price) (sum) (duration) (convexity) 8.77 (modified duration) Using Excel date 3/18/2011 maturity 3/18/2026 coupon 0.05 YTM 0.10 duration 9.65 modified duration 8.77...
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This note was uploaded on 03/17/2011 for the course BUS M 410 taught by Professor Brianboyer during the Fall '10 term at BYU.

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