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  • Bond Duration

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    Shijo Thomas
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    Bond Duration

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    Bond Duration

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    9 views2 pages

    Bond Duration

    Uploaded by

    Shijo Thomas
    Bond Duration

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 2

    zero coupon

    face
    matu
    y
    du
    actual
    slope

    100
    30
    4%
    28.96
    -30.12
    $872.32

    duration plot
    2.00%
    $47.50
    4%
    $30.12 80.00
    6%
    $12.74
    70.00

    60.00
    actual y
    y
    price
    50.00
    1%
    73.9940.00
    2%
    54.75
    30.00
    3%
    40.51
    4%
    29.9820.00
    5%
    22.1810.00
    6%
    16.41
    0.00
    7%
    12.14
    1
    8%
    8.99
    9%
    6.65
    10%
    4.92

    10

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