Bond Market Risk

Published on June 2017 | Categories: Documents | Downloads: 35 | Comments: 0 | Views: 219
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Content

Bond Duration
Inputs

Yield to maturity (annualised) (y)

5.00%
5.00%

Number of payments / year (NOP)
Outputs
Discount Rate / Period (RATE)

25.00

Duration (years)

Annual coupon rate (CR)

30.00

1

10

20.00

10

15.00
10.00

1

5.00

5.00%

0.00
0

Dynamic Chart Outputs
Time to maturity (years)
Number of periods to maturity
Duration of coupon bond
Duration of zero coupon bond

1
1
1.0000
1.00

2
2
1.9524
2.00

3
3
2.8594
3.00

Measures of Market Risk
Time to maturity (yrs)
Payment frequency
Macaulay Duration (years)

1

5

10

Annual

Annual

Annual

1.00

4.55

8.11

Modified Duration (%)

0.9524%

4.3295%

7.7217%

DV01

0.009524

0.043295

0.077217

Bond price

100.0000

100.0000

100.0000

Face Value

$10,000,000

$10,000,000

$10,000,000

$952

$4,329

$7,722

Dollar Duration

Bond Duration

Coupon Bond

Zero coupon
bond

0

5

10

15

20

25

30

Time to maturity

4
4
3.7232
4.00

15
Annual
10.90
10.3797%
0.103797
100.0000
$10,000,000
$10,380

5
5
4.5460
5.00

6
6
5.3295
6.00

7
7
6.0757
7.00

8
8
6.7864
8.00

9
9
7.4632
9.00

10
10
8.1078
10.00

11
11
8.7217
11.00

12
12
9.3064
12.00

13
13
9.8633
13.00

14
14
10.3936
14.00

15
15
10.8986
15.00

16
16
11.3797
16.00

17
17
11.8378
17.00

18
18
12.2741
18.00

19
19
12.6896
19.00

20
20
13.0853
20.00

21
21
13.4622
21.00

22
22
13.8212
22.00

23
23
14.1630
23.00

24
24
14.4886
24.00

25
25
14.7986
25.00

26
26
15.0939
26.00

27
27
15.3752
27.00

28
28
15.6430
28.00

29
29
15.8981
29.00

30
30
16.1411
30.00

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