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  • 29-5 Duration

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    Vân Khánh
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    This bond has a face value of 1000, pays annual coupons of 6% of face value (60), has a yield to maturity of 6.12%, and matures in 10 years. The table shows the present value and duration of the bond's annual cash flows, with the principal repayment in year 10 having a present value of -585.24 and an overall duration of 7.72229 years.

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    This bond has a face value of 1000, pays annual coupons of 6% of face value (60), has a yield to maturity of 6.12%, and matures in 10 years. The table shows the present value and duration of the bond's annual cash flows, with the principal repayment in year 10 having a present value of -585.24 and an overall duration of 7.72229 years.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    4 views1 page

    29-5 Duration

    Uploaded by

    Vân Khánh
    This bond has a face value of 1000, pays annual coupons of 6% of face value (60), has a yield to maturity of 6.12%, and matures in 10 years. The table shows the present value and duration of the bond's annual cash flows, with the principal repayment in year 10 having a present value of -585.24 and an overall duration of 7.72229 years.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 1

    period 10

    face value 1000


    YTM 6.12%
    coupon 6%

    1.
    year coupon principal PV year x pv duration modified duration
    1 60 -56.54 ₫ -56.54 ₫ 7.79
    2 60 -53.28 ₫ -106.56 ₫
    3 60 -50.21 ₫ -150.62 ₫
    4 60 -47.31 ₫ -189.24 ₫
    5 60 -44.58 ₫ -222.91 ₫
    6 60 -42.01 ₫ -252.07 ₫
    7 60 -39.59 ₫ -277.12 ₫
    8 60 -37.31 ₫ -298.44 ₫
    9 60 -35.15 ₫ -316.39 ₫
    10 60 1000 -585.24 ₫ -5,852.39 ₫
    -991.22 ₫ -7,722.29 ₫

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