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  • Input Derived: T Cash Flows PVCF PVCF T T (T+1)

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    kanak257
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    Convexity Example 180813

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    Convexity Example 180813

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    Convexity Example 180813

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    10 views8 pages

    Input Derived: T Cash Flows PVCF PVCF T T (T+1)

    Uploaded by

    kanak257
    Convexity Example 180813

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 8

    Calculate the price given the yield

    Face Value
    Coupon
    Frequency
    Yield
    Maturity (Years)
    Price
    Duration
    Modified Duration
    Convexity

    100
    5%
    1
    5.5% Input
    10
    96.23 Derived
    8.065449737
    7.644976054
    73.77654009
    T
    0
    1
    2
    3
    4
    5
    6
    7
    8
    9
    10

    Cash Flows

    PVCF PVCF * T T * (T+1)

    5 4.74
    4.74
    5 4.49
    8.98
    5 4.26
    12.77
    5 4.04
    16.14
    5 3.83
    19.13
    5 3.63
    21.76
    5 3.44
    24.06
    5 3.26
    26.06
    5 3.09
    27.79
    105 61.47
    614.70
    0 0.00 #VALUE!
    0 0.00 #VALUE!
    0 0.00 #VALUE!
    0 0.00 #VALUE!
    0 0.00 #VALUE!
    0 0.00 #VALUE!
    0 0.00 #VALUE!
    0 0.00 #VALUE!
    0 0.00 #VALUE!
    0 0.00 #VALUE!
    0 0.00 #VALUE!
    0 0.00 #VALUE!
    0 0.00 #VALUE!
    0 0.00 #VALUE!
    0 0.00 #VALUE!
    0 0.00 #VALUE!
    0 0.00 #VALUE!
    0 0.00 #VALUE!
    0 0.00 #VALUE!

    2
    6
    12
    20
    30
    42
    56
    72
    90
    110
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0

    0
    0

    0.00 #VALUE!
    0.00 #VALUE!

    0
    0

    Calculate the price given the yield


    Face Value
    Coupon
    Frequency
    Yield
    Maturity (Years)
    Price
    Duration
    Modified Duration
    Convexity
    PVFF*(T*(T+1))

    9.478672986
    26.95357247
    51.09681985
    80.72167433
    114.7701531
    152.3016249
    192.4823064
    234.5755934
    277.9331676
    6761.723192
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0

    100
    5%
    1
    5.0% Input
    5
    100.00 Derived
    4.545950504
    4.329476671
    23.9359875
    T
    0
    1
    2
    3
    4
    5

    Cash Flows

    5
    5
    5
    5
    105
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0

    0
    0

    0
    0

    Calculate the price given the yield


    Face Value
    Coupon
    Frequency
    Yield
    Maturity (Years)
    Price
    Duration
    Modified Duration
    Convexity
    PVCF

    4.76
    4.54
    4.32
    4.11
    82.27
    0.00
    0.00
    0.00
    0.00
    0.00
    0.00
    0.00
    0.00
    0.00
    0.00
    0.00
    0.00
    0.00
    0.00
    0.00
    0.00
    0.00
    0.00
    0.00
    0.00
    0.00
    0.00
    0.00
    0.00

    PVCF * T T * (T+1)

    4.76
    9.07
    12.96
    16.45
    411.35
    #VALUE!
    #VALUE!
    #VALUE!
    #VALUE!
    #VALUE!
    #VALUE!
    #VALUE!
    #VALUE!
    #VALUE!
    #VALUE!
    #VALUE!
    #VALUE!
    #VALUE!
    #VALUE!
    #VALUE!
    #VALUE!
    #VALUE!
    #VALUE!
    #VALUE!
    #VALUE!
    #VALUE!
    #VALUE!
    #VALUE!
    #VALUE!

    2
    6
    12
    20
    30
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0

    PVFF*(T*(T+1))

    9.523809524
    27.21088435
    51.83025591
    82.27024748
    2468.107424
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0

    T
    0
    1
    2
    3
    4
    5
    6
    7
    8
    9
    10
    11
    12
    13
    14
    15

    0.00 #VALUE!
    0.00 #VALUE!

    0
    0

    0
    0

    100
    5%
    1
    5.5% Input
    15
    94.98 Derived
    10.77873242
    10.21680798
    136.938067
    Cash Flows

    5
    5
    5
    5
    5
    5
    5
    5
    5
    5
    5
    5
    5
    5
    105
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0

    PVCF

    4.74
    4.49
    4.26
    4.04
    3.83
    3.63
    3.44
    3.26
    3.09
    2.93
    2.77
    2.63
    2.49
    2.36
    47.03
    0.00
    0.00
    0.00
    0.00
    0.00
    0.00
    0.00
    0.00
    0.00
    0.00
    0.00
    0.00
    0.00
    0.00

    PVCF * T

    4.74
    8.98
    12.77
    16.14
    19.13
    21.76
    24.06
    26.06
    27.79
    29.27
    30.52
    31.56
    32.41
    33.08
    705.49
    #VALUE!
    #VALUE!
    #VALUE!
    #VALUE!
    #VALUE!
    #VALUE!
    #VALUE!
    #VALUE!
    #VALUE!
    #VALUE!
    #VALUE!
    #VALUE!
    #VALUE!
    #VALUE!

    T * (T+1)

    2
    6
    12
    20
    30
    42
    56
    72
    90
    110
    132
    156
    182
    210
    240
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0

    PVFF*(T*(T+1))

    9.478672986
    26.95357247
    51.09681985
    80.72167433
    114.7701531
    152.3016249
    192.4823064
    234.5755934
    277.9331676
    321.9868187
    366.2409312
    410.2655843
    453.6902196
    496.197834
    11287.91281
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0
    0

    0
    0

    0.00 #VALUE!
    0.00 #VALUE!

    0
    0

    0
    0

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