8

108

Yield

8%
100
98.24089
1.759111
1.759111

10
10
10
10
110
150
11%

9.0
8.1
7.3
6.6
65.3

1
2
3
4
5

1
2
3
4
5
6
time

96.30
92.79045
3.513655
3.786656

20
30
40
50
660
5.333333

Price
MP
Interest
Yield

100
102.497
8%
7.63%

6.740741

0.000674 102.5661

6.740741

6.7407% 109.4061

1999
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20

2000
2001
2002
2003
2004
2005
2006
2007
2008
2009

4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
104

3.852934
3.711274
3.574823
3.443389
3.316787
3.19484
3.077377
2.964232
2.855247
2.750269
2.649151
2.551751
2.457932
2.367562
2.280515
2.196668
2.115904
2.038109
1.963175
49.16588
102.5278 14.21537
7.107687
6.581191

1
2
3
4
5
6
7
8
9
10
11
12

102.5278
0
0

9
0.917431
0.84168
0.772183
0.708425
0.649931
0.596267
0.547034
0.501866
0.460428
0.422411
0.387533
0.355535
7.160725

0.069091

0.069091

6.909057

6.909057
100

6.417658
7.023582

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20

4.5
0.956938
0.91573
0.876297
0.838561
0.802451
0.767896
0.734828
0.703185
0.672904
0.643928
0.616199
0.589664
0.564272
0.539973
0.51672
0.494469
0.473176
0.4528
0.433302
0.414643
13.00794

Price
Yield
Coupon
Duration

118
7.54%
10%
7.46
6.937276
0.069373
0.08186

120
7.29%

Price
MP
Interest
Yield

100
102.497
8%
7.63%

6.740741

6.740741

1999
0
1
2
3
4
5
6
7
8
9
10
12

2000
2001
2002
2003
2004
2005
2006
2007
2008
2009

8
8
8
8
8
8
8
8
8
108

14.86519
41.43261
76.98796
119.2126
166.136
216.0938
267.6897
319.7618
371.3532
5692.744

7.4
6.9
6.4
6.0
5.5
5.1
4.8
4.4
4.1
51.8
102.497

180
7286.277

Duratrion
Modified duration
DR
% change in price

MD
Yeild %
Convexity

7.28
6.77
1%
-0.064601

Price

2.639
2%
9.57
-0.050866
94.9134

Change in price due to modifed duration

Change in price due to convexivity
Total change

-0.05278
0.001914
-0.050866

CR
Yield
MP of bond
change in the yeild

5%
5.50%
96.23119
3%

Convexity

48.1156
0.021652

0.000674 102.5661 0.069091

0.069091

6.7407% 109.4061 6.909057

6.909057
100

9
0.917431
0.84168
0.708425
0.596267
0.501866
0.422411 3.988081
0.355535

4.5
0.956938
0.91573
0.838561
0.767896
0.703185
0.643928
0.589664
0.539973
0.494469
0.4528
0.414643
7.317787

1
2
4
6
8
10
12

61.36147
122.7229

1
2
4
6
8
10
12
14
16
18
20

Spot
Ex. Price
Rate
Varability
Dividend
time
d1

1750
1800
6%
30%
4
10
-0.028171
0.65
0.094868
6.554654
0.548812
1

d2

d1-sigma(sqrt t)