0000 10000 10000 10000 10000 10000 10000 10000 10000

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Unformatted text preview: 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 DCF 19.51 19.04 18.57 18.12 17.68 17.25 16.83 16.41 16.01 15.62 15.24 14.87 14.51 14.15 13.81 13.47 13.14 12.82 12.51 12.21 11.91 11.62 11.33 11.06 10.79 10.52 10.27 10.02 9.77 486.28 - Duration Weighted Time 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.07 0.08 0.09 0.09 0.10 0.11 0.11 0.12 0.12 0.12 0.13 0.13 0.14 0.14 0.14 0.15 0.15 0.15 0.15 0.15 0.16 0.16 8.15 - Convexity Weighted Time 14.64 38.10 69.71 108.84 154.90 2 07.32 2 65.55 329.08 397.42 470.12 546.72 626.82 7 10.03 7 95.96 884.28 974.65 1,066.75 1,160.30 1,255.00 1,350.61 1,446.87 1,543.55 1,640.44 1,737.33 1,834.03 1,930.37 2 ,026.17 2 ,121.29 2 ,215.57 117,752.99 - Table for zero-coupon 30 year only Modified Duration: 2 9.13 -D * change in yield PLUS Convexity: 899.22 C * (Change in yield...
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This document was uploaded on 10/29/2013.

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