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Excel > Excel Stuff > Investment Related Workbooks > Duration and Convexity Calculator

Excel > Excel Stuff > Investment Related Workbooks > Duration and Convexity Calculator

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Published by: api-27174321 on Oct 14, 2008
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03/18/2014

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Bond Price
$875.38
$820.74If Yield Changes By
1.00%
Face Value
1,000
1000Bond Price Will Change By
-54.63
Coupon Rate
8.00%
8%
Life in Years
10
10Modified Duration Predicts
-57.03
Yield
10.00%
11%Convexity Adjustment
2.47
Frequency
2
2Total Predicted Change
-54.56
Macaulay Duration
6.84
Actual New Price
$820.74
Modified Duration
6.51
Predicted New Price
$820.82
Convexity
56.49
Difference
$0.08
Period
Cash Flow
PV Cash Flow
Duration Calc
Convexity Calc
0
($875.38)
1
40.00
38.10
38.10
69.11
2
40.00
36.28
72.56
197.45
3
40.00
34.55
103.66
376.09
4
40.00
32.91
131.63
596.97
5
40.00
31.34
156.71
852.82
6
40.00
29.85
179.09
1,137.09
7
40.00
28.43
198.99
1,443.92
8
40.00
27.07
216.59
1,768.07
9
40.00
25.78
232.06
2,104.85
10
40.00
24.56
245.57
2,450.08
11
40.00
23.39
257.26
2,800.10
12
40.00
22.27
267.28
3,151.62
13
40.00
21.21
275.77
3,501.80
14
40.00
20.20
282.84
3,848.14
15
40.00
19.24
288.61
4,188.45
16
40.00
18.32
293.19
4,520.86
17
40.00
17.45
296.68
4,843.78
18
40.00
16.62
299.17
5,155.85
19
40.00
15.83
300.76
5,455.92
20
1,040.00
391.97
7,839.30
149,320.02
Total
11,975.81
197,783.01
-6.24%

-6.51%
0.28%
-6.23%

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