Duration and Convexity.xlsx - n Semi Annual I% PV Pmt FV...

n (Semi Annual) 60 10 10 60 10
I% 0.0175 0.0175 0.0175 0.0176 0.0176
PV ($105.54) ($101.37) ($84.07) ($105.35) ($101.32)
Pmt 1.9 1.9 0 1.9 1.9
FV 100 100 100 100 100
1.)
Bond 3.5% Yld 3.51% Yld PVBP %V01
30Y, 3.8% ($105.544598) ($105.353097) -0.19150057 0.181%
5Y, 3.8% ($101.365183) ($101.319330) -0.04585344 0.045%
5Y, 0% ($84.072860) ($84.031558) -0.04130228 0.049%
C.)
the PVBP for the 30Y bond is .1915006, which means it is the most sensitive to changes in interes
sensitive is the 0% coupon beacuse the yield is less affected by interst rates. the %VO1 indicates t
basis point changes in intrests rates. The most sesitive is the 30Y beacuse of longer time horizon a
Likewise the 0% coupon is riskier beacuse it has no coupon to absorb changes in interest rates.
D.)
It makes sense that the largest volitility is in the 30Y bond as the risk of maturity and risk in prices
makes sense that the 5Y with a 3.8% coupon has less risk than the bond without the coupon beac
closer to the yield rate than the 0% coupon rate.
4.)
The approximate formulas should be used when there are
options included in the bonds.

2.)
10 Annual Coupon 6.6% Period CF
0.0176 Annual Term 5 1 6.6
($84.03) Annual YTM 5% 2 #NAME?
0 3 #NAME?
100 4 #NAME?
5 #NAME?
6 #NAME?
7 #NAME?
8 #NAME?
9 6.6
10 106.6
Annual Totals
Macauley Duration 7.75303966
3.87651983
Modified 3.69192365
Semi-Annual Coupon 3.3% Period CF
Semi-Annual Term 10 1 3.3
Semi-Annual YTM 2.50% 2 #NAME?
3 #NAME?
4 #NAME?
5 #NAME?
6 3.3
7 #NAME?
8 #NAME?
9 #NAME?
10 103.3
Semi-Annual Totals
Macauley Duration 8.70309395
4.35154698
Modified 4.24541168
st rates. The least
the dollar sensity to
and maturity risk.
s increases. Also, it
cuse the coupon rate is

PV of CF period t*PVCF 3.)
$6.35 $6.35
$6.11 $12.22
#NAME? $17.64
#NAME? $22.66
#NAME? $27.29
#NAME? $31.56
#NAME? $35.51
#NAME? $39.15
$4.72 $42.51