Years 5

Par 1000
coupon rate 6% coupon 60 anually
YTM 0.064

t 1 2 3 4 5
1.064 1.132096 1.204550144 1.281641353 1.3636664
discount factor 0.939849624 0.883317316 0.830185447 0.78024948 0.733317181
CF 60 60 60 60 1060
PV 56.39097744 52.99903895 49.81112683 46.81496883 777.3162117
price 983.3323238
PV*t 56.39097744 105.9980779 149.4333805 187.2598753 3886.581059
duration 4.460001226
mod dur 4.191730476
PV*t*(t+1) 112.7819549 317.9942337 597.733522 936.2993766 23319.48635 25284.29544

convexity 22.71262262 5.58%

delta 0.02555921
years 5
par 1000
coupon rate 6% coupon 60 semianually
YTM 0.064
1.064

t 1 1.5 2 2.5 3 3.5

CF 30 30 30 30 30 30
1.032 1.065024E+00 1.099104768 1.134276121 1.170572956 1.208031291
discount facto0.968992248 0.9389459768 0.909831373 0.881619547 0.854282507 0.827793127
PV 29.06976744 28.1683793041 27.29494119 26.44858642 25.62847521 24.83379381
price 984.5720098
duration
 4 4.5 5
30 30 1030
1.246688292 1.286582318 1.327752952
0.802125123 0.777253026 0.753152157
24.06375369 23.31759079 775.746722