KIC000059 - um—.mw ”We L M u WW 4 yaw<5.me.7...

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Unformatted text preview: . um—....mw,. ”We; L M. u. .. WW... 4 ._ yaw <5...me .7... Modified Duration and Convexity (per $100 Face) 1 “(WP ) Modified Dmionfln hlllveln] I 21.0043: All" I- 1+ M 0+ 04 2l .0 ‘3 mm Modified Dunflunlln years) I 10.5024 TM: men»: I ¢I- 256 menu in annual "culled yield . rl- z-wsm riff-21.005“ MI Inpnn. hon-d an dumb" only Cowley Manure (In hllf years) - 649.278 1 . 4 n [00—— 2_*_= .__1_ _&.Lu’. I .04‘ mm)" .oa‘mm)“ (1+.04)“ 30.207 Came-Mr Manure (In vulva) K 649.215]? = 162.320 Chlm In prlu clue ”Why I K'ill.320'(+/— .02)1 l 4 3.206% Compare Estimate to Actual Market yield goes from 8% to 1096 => What is the actual '36 price change? (65.632 — 80.207)/80.207 = 48.11% + 2% => Duration Says => 41.00536 + 2% =) Canvgxity Says => 43.24696 + 2% Total I 47.75996 8% to 6% => What is the actual 56 price change? (100.0- 80.207)/80.207 = 24.63% - 2% => Duration Says => 02100556 - 2% => Convexity Says => 13.24656 - 2% Total = +24.251% What about a Small Change? Market yield goes from 8% to 8.1% => Wh at is the actual 96 price change? (79.371 — 80.207)/30.207 = 4.042216 8% to 7.9% -> what is the actual 56 price change? (31.056 - 80.2071/80107 = 1.05345: 4- 0.1% -> Duration Says x> - 1.050396 + 0.1% => convexity Says => V.‘ 162.320’( .001)? = 0.008% + 0.1% Total = 4.042356 - 0.1% => Duration Says -> 0 1.050396 - 0.1% => Conn/aw Says => + 0.008% - 0.1%Total = 1.051335% ...
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