1 What are Mac duration, Modified Duration and convexity?

Mac Duration, Mod Duration and convexity are the measures to

market risk for debentures

2 What is market risk ?

Change in value of a security due to market movements

of the security price and parameter determining
the security price
In case of a debenture,
change in value of a debenture due to change in its market price
and change in the discounting rate of interest

3 How is change in discounting rate of interest a risk factor?

Risk means possibility of loss in value.

If discounting rate of interest increases, the price of
a debenture would go down. Hence its value will reduce.

4 How are Mod. duration and convexity measures of market risk?

Duration and convexity define a mathematical relationship

between debenture price and discounting rate of interest

∆P/P = - D * ∆r + 1/2 * C * (∆r)^2

where ∆P change in bond price
P original bond price
 D duration of the bond
∆r change in interest rate
C convexity
(∆r)^2 square of change in interest rate

Example 1
Calculate percentage change in price of a bond with duration of 5
and convexity of 150, Interest rate changes by 0.1% upwards

change in price =-5 * 0.1% + 1/2 * 150* (.1%)^2

-0.49%

5 Understanding first Mod. duration in greater detail:

we assume that convexity is zero.
Hence the change in price formula is simplified as follows:

∆P/P = - MD * ∆r

6 How is duration defined? What is modified duration?

Duration, in the context of the simplified formula above; is defined as

% change in bond price for 1% change in interest rate
Duration is also called "modified duration" ( why?, wait for a while to get this answe
6A Illustrate how duration signals risk.
Compare two debentures, both priced at 100 but the first one with durati
and the second one with duration of 5.

If discounting rate of interest increases by 1% p.a.,

decline in price of first debenture : 3%
decline in price of second debenture: 5%
 ie price of first debenture : 97
price of second debenture : 95

Higher duration implies greater market risk

7 What is the relationship between duration and tenor?

Longer the tenor, longer is the Mac Duartion and Modified duration

8 How does one compute duration for a debenture with given cash flows?

Year cash flow

0
1 8
2 8
3 108
Discount rate-->
price-->

Mod. Duration
=(P-high-P-low)/(2*P0*∆r )

9 Why compute P-high as well as P-low?

Change in price is not the same.

100.03 , by extending decimals ; is actually 100.02578 is increase of .0257
99.97, is actually 99.97423 ie drop of .02577
Hence , taking both prices; effectively averages out the net price change

10 Illustrate that longer tenor leads to higher duration.

Year cash flow

 0
1 8
2 8
3 8
4 108
Discount rate-->
price-->

Mod Duration
=(P-high-P-low)/(2*P0*∆r )
Tenor Duration
3 2.58
4 3.31
10 Illustrate that lower coupon leads to higher duration.

Year cash flow

0
1 6
2 6
3 6
4 106
Discount rate-->
price-->

Modified Duration
=(P-high-P-low)/(2*P0*∆r )
coupon Duration
8 3.31
6 3.39
11 Illustrate that lower discount rate leads to higher duration.

Year cash flow

 0
1 6
2 6
3 6
4 106
Discount rate-->
price-->

Duration
=(P-high-P-low)/(2*P0*∆r )
discount rate Modified Duration
8% 3.39
6% 3.47
12 Why not directly compute the price change using NPV formula? Why use this ap

Duration provides a quick method ("rough-n-ready") to get an estimate o

For example, all debt fund brochures indicate their average portfolio dur
If one is investing in a fund with higher duration, one would expect a h

If interest rates are expected to reduce, fund manager would increase du

and vice-a-versa.

13 Illustrate the approximation in the estimate for the changed price.

6% coupon 4 year tenor debenture trading at par has duration of 3.47

ie if interest rate changes to 7% p.a.; approx price decline would be 3.47
as per the duration formula

Year
0
1 6
2 6
 3 6
4 106
NPV at 7% p.a-->

14 Illustrate Modified duration of zero coupon bond trading at discount rate of 6%

Year
0
1 0
2 0
3 0 6% 6.01%
4 100 $79.21 $79.18

Note that it is less than the tenor of 4 years

15 What is Macaulay duration?

Historically, Macaulay came up with the concept of linking market risk of a bond

Macaulay duration of a zero coupon bond is equal to its tenor.

In the above example, (ie 14 above), Macaulay duration is equal to 4

Also, duration ( as defined earlier) = Macaulay duration / ( 1+ discounting rate o

3.77(rounded off) = 4/1.06

16 How to compute Macaulay duration for a coupon bearing bond?

Macaulay duration is present-value weighted tenor

Year cash flow PV PV*year

0
 1 6 5.66 5.66
2 6 5.34 10.68
3 6 5.04 15.11
4 106 83.96 335.85
sum 367.30
pv 100.00
Macaulay duration 3.67
Modified duration 3.46511
Ratio 1.06 same relationship holds f
coupon bearing bonds a
Formula 2 Duration(also called modified duration) = Macaulay duration/
17 Modified and macaulay duration when cash flows are not annual

Half year Cash Flow

0
1 5 Modified duration
2 5
3 5 Note that the
rate is half yearly
4 5 rate
5 5
6 105 5%
100.00

17A Computing Macaulay duration for the cash flows as above

Half year Cash Flow PV PV*half year

0
1 5 4.76 4.76
2 5 4.54 9.07
 3 5 4.32 12.96
4 5 4.11 16.45
5 5 3.92 19.59
6 105 78.35 470.12
sum 532.95
PV 100.00
Macaulay 5.33
Modified 5.08
Ratio 1.05

18 What was the relevance of "convexity"?

So far we have assumed that convexity is zero. This was to simplify the p
the concept of duration is understood better.
Now let us bring in the convexity in the price change formula.

∆P/P = - D * ∆r + 1/2 * C * (∆r)^2

Convexity "C" in this formula imroves the estimated bond price change for a giv

19 Illustrate the approximation in the estimate for the changed price using both du

6% coupon 4 year tenor debenture trading at par has duration of 3.47* a

ie if interest rate changes to 7% p.a.; approx price decline would be 3.39
as per the duration&convexity formula above
-3.3858% (retaining 4 decimals)
Year
0
1 6
2 6
 3 6
4 106
NPV at 7% p.a-->

20 How was the convexity computed in "19" above?

Convexity = (Phigh + Plow - 2*P0)/(P0*∆r*∆r)

Year
0
1 6
2 6
3 6 6%
4 106 100.00

21 Illustrate using duration-convexity formula that that the bond price change is no
when interest rate goes up vs goes down?

∆P/P = - D * ∆r + 1/2 * C * (∆r)^2

when ∆r = +1%
∆P/P = -3.39%
when ∆r = -1%
∆P/P = 3.55%

Increase is always higher than the decline. This is due to the convexity in the bon
relationship.

22 Illustrate the convex relationship graphically

 168 Price vs yield curve

148

128 B

108

88

A
68 C

48

28
0.02 0.07 0.12 0.17 0.22

23 What data was used to plot the curve above?

Given the cash flows for a debenture as below:
Year cash flow
0
1 7
2 7
3 7
4 7
5 7
6 7
7 7
8 7
9 7
 10 107

Debenture price is calculated for various discounting rates of interest fro

The values are shown below. These values are used to plot the curve ab
2.00% $144.91
2.01% $144.80
2.02% $144.69
2.03% $144.57
2.04% $144.46
2.05% $144.35
2.06% $144.23
2.07% $144.12
2.08% $144.01
2.09% $143.90
2.10% $143.79
2.11% $143.67
2.12% $143.56
2.13% $143.45
2.14% $143.34
2.15% $143.23
2.16% $143.11
2.17% $143.00
2.18% $142.89
2.19% $142.78
2.20% $142.67
2.21% $142.56
2.22% $142.45
2.23% $142.34
2.24% $142.23
2.25% $142.11
2.26% $142.00
2.27% $141.89
2.28% $141.78
2.29% $141.67
2.30% $141.56
2.31% $141.45
2.32% $141.34
2.33% $141.23
2.34% $141.12
2.35% $141.01
2.36% $140.90
2.37% $140.80
2.38% $140.69
2.39% $140.58
2.40% $140.47
2.41% $140.36
2.42% $140.25
2.43% $140.14
2.44% $140.03
2.45% $139.92
2.46% $139.82
2.47% $139.71
2.48% $139.60
2.49% $139.49
2.50% $139.38
2.51% $139.28
2.52% $139.17
2.53% $139.06
2.54% $138.95
2.55% $138.85
2.56% $138.74
2.57% $138.63
2.58% $138.52
2.59% $138.42
2.60% $138.31
2.61% $138.20
2.62% $138.10
2.63% $137.99
2.64% $137.88
2.65% $137.78
2.66% $137.67
2.67% $137.57
2.68% $137.46
2.69% $137.35
2.70% $137.25
2.71% $137.14
2.72% $137.04
2.73% $136.93
2.74% $136.83
2.75% $136.72
2.76% $136.62
2.77% $136.51
2.78% $136.41
2.79% $136.30
2.80% $136.20
2.81% $136.09
2.82% $135.99
2.83% $135.88
2.84% $135.78
2.85% $135.67
2.86% $135.57
2.87% $135.46
2.88% $135.36
2.89% $135.26
2.90% $135.15
2.91% $135.05
2.92% $134.95
2.93% $134.84
2.94% $134.74
2.95% $134.64
2.96% $134.53
2.97% $134.43
2.98% $134.33
2.99% $134.22
3.00% $134.12
3.01% $134.02
3.02% $133.92
3.03% $133.81
3.04% $133.71
3.05% $133.61
3.06% $133.51
3.07% $133.40
3.08% $133.30
3.09% $133.20
3.10% $133.10
3.11% $133.00
3.12% $132.90
3.13% $132.79
3.14% $132.69
3.15% $132.59
3.16% $132.49
3.17% $132.39
3.18% $132.29
3.19% $132.19
3.20% $132.09
3.21% $131.99
3.22% $131.89
3.23% $131.78
3.24% $131.68
3.25% $131.58
3.26% $131.48
3.27% $131.38
3.28% $131.28
3.29% $131.18
3.30% $131.08
3.31% $130.98
3.32% $130.88
3.33% $130.79
3.34% $130.69
3.35% $130.59
3.36% $130.49
3.37% $130.39
3.38% $130.29
3.39% $130.19
3.40% $130.09
3.41% $129.99
3.42% $129.89
3.43% $129.80
3.44% $129.70
3.45% $129.60
3.46% $129.50
3.47% $129.40
3.48% $129.30
3.49% $129.21
3.50% $129.11
3.51% $129.01
3.52% $128.91
3.53% $128.82
3.54% $128.72
3.55% $128.62
3.56% $128.52
3.57% $128.43
3.58% $128.33
3.59% $128.23
3.60% $128.13
3.61% $128.04
3.62% $127.94
3.63% $127.84
3.64% $127.75
3.65% $127.65
3.66% $127.55
3.67% $127.46
3.68% $127.36
3.69% $127.27
3.70% $127.17
3.71% $127.07
3.72% $126.98
3.73% $126.88
3.74% $126.79
3.75% $126.69
3.76% $126.60
3.77% $126.50
3.78% $126.41
3.79% $126.31
3.80% $126.22
3.81% $126.12
3.82% $126.03
3.83% $125.93
3.84% $125.84
3.85% $125.74
3.86% $125.65
3.87% $125.55
3.88% $125.46
3.89% $125.36
3.90% $125.27
3.91% $125.18
3.92% $125.08
3.93% $124.99
3.94% $124.89
3.95% $124.80
3.96% $124.71
3.97% $124.61
3.98% $124.52
3.99% $124.43
4.00% $124.33
4.01% $124.24
4.02% $124.15
4.03% $124.05
4.04% $123.96
4.05% $123.87
4.06% $123.77
4.07% $123.68
4.08% $123.59
4.09% $123.50
4.10% $123.40
4.11% $123.31
4.12% $123.22
4.13% $123.13
4.14% $123.04
4.15% $122.94
4.16% $122.85
4.17% $122.76
4.18% $122.67
4.19% $122.58
4.20% $122.49
4.21% $122.39
4.22% $122.30
4.23% $122.21
4.24% $122.12
4.25% $122.03
4.26% $121.94
4.27% $121.85
4.28% $121.76
4.29% $121.67
4.30% $121.58
4.31% $121.49
4.32% $121.40
4.33% $121.30
4.34% $121.21
4.35% $121.12
4.36% $121.03
4.37% $120.94
4.38% $120.85
4.39% $120.76
4.40% $120.67
4.41% $120.58
4.42% $120.50
4.43% $120.41
4.44% $120.32
4.45% $120.23
4.46% $120.14
4.47% $120.05
4.48% $119.96
4.49% $119.87
4.50% $119.78
4.51% $119.69
4.52% $119.60
4.53% $119.52
4.54% $119.43
4.55% $119.34
4.56% $119.25
4.57% $119.16
4.58% $119.07
4.59% $118.99
4.60% $118.90
4.61% $118.81
4.62% $118.72
4.63% $118.63
4.64% $118.55
4.65% $118.46
4.66% $118.37
4.67% $118.28
4.68% $118.20
4.69% $118.11
4.70% $118.02
4.71% $117.93
4.72% $117.85
4.73% $117.76
4.74% $117.67
4.75% $117.59
4.76% $117.50
4.77% $117.41
4.78% $117.33
4.79% $117.24
4.80% $117.15
4.81% $117.07
4.82% $116.98
4.83% $116.90
4.84% $116.81
4.85% $116.72
4.86% $116.64
4.87% $116.55
4.88% $116.47
4.89% $116.38
4.90% $116.29
4.91% $116.21
4.92% $116.12
4.93% $116.04
4.94% $115.95
4.95% $115.87
4.96% $115.78
4.97% $115.70
4.98% $115.61
4.99% $115.53
5.00% $115.44
5.01% $115.36
5.02% $115.27
5.03% $115.19
5.04% $115.11
5.05% $115.02
5.06% $114.94
5.07% $114.85
5.08% $114.77
5.09% $114.68
5.10% $114.60
5.11% $114.52
5.12% $114.43
5.13% $114.35
5.14% $114.27
5.15% $114.18
5.16% $114.10
5.17% $114.01
5.18% $113.93
5.19% $113.85
5.20% $113.77
5.21% $113.68
5.22% $113.60
5.23% $113.52
5.24% $113.43
5.25% $113.35
5.26% $113.27
5.27% $113.19
5.28% $113.10
5.29% $113.02
5.30% $112.94
5.31% $112.86
5.32% $112.77
5.33% $112.69
5.34% $112.61
5.35% $112.53
5.36% $112.45
5.37% $112.36
5.38% $112.28
5.39% $112.20
5.40% $112.12
5.41% $112.04
5.42% $111.96
5.43% $111.87
5.44% $111.79
5.45% $111.71
5.46% $111.63
5.47% $111.55
5.48% $111.47
5.49% $111.39
5.50% $111.31
5.51% $111.23
5.52% $111.14
5.53% $111.06
5.54% $110.98
5.55% $110.90
5.56% $110.82
5.57% $110.74
5.58% $110.66
5.59% $110.58
5.60% $110.50
5.61% $110.42
5.62% $110.34
5.63% $110.26
5.64% $110.18
5.65% $110.10
5.66% $110.02
5.67% $109.94
5.68% $109.86
5.69% $109.78
5.70% $109.71
5.71% $109.63
5.72% $109.55
5.73% $109.47
5.74% $109.39
5.75% $109.31
5.76% $109.23
5.77% $109.15
5.78% $109.07
5.79% $108.99
5.80% $108.92
5.81% $108.84
5.82% $108.76
5.83% $108.68
5.84% $108.60
5.85% $108.52
5.86% $108.45
5.87% $108.37
5.88% $108.29
5.89% $108.21
5.90% $108.13
5.91% $108.06
5.92% $107.98
5.93% $107.90
5.94% $107.82
5.95% $107.75
5.96% $107.67
5.97% $107.59
5.98% $107.51
5.99% $107.44
6.00% $107.36
6.01% $107.28
6.02% $107.21
6.03% $107.13
6.04% $107.05
6.05% $106.98
6.06% $106.90
6.07% $106.82
6.08% $106.75
6.09% $106.67
6.10% $106.59
6.11% $106.52
6.12% $106.44
6.13% $106.36
6.14% $106.29
6.15% $106.21
6.16% $106.14
6.17% $106.06
6.18% $105.98
6.19% $105.91
6.20% $105.83
6.21% $105.76
6.22% $105.68
6.23% $105.61
6.24% $105.53
6.25% $105.46
6.26% $105.38
6.27% $105.30
6.28% $105.23
6.29% $105.15
6.30% $105.08
6.31% $105.00
6.32% $104.93
6.33% $104.86
6.34% $104.78
6.35% $104.71
6.36% $104.63
6.37% $104.56
6.38% $104.48
6.39% $104.41
6.40% $104.33
6.41% $104.26
6.42% $104.19
6.43% $104.11
6.44% $104.04
6.45% $103.96
6.46% $103.89
6.47% $103.82
6.48% $103.74
6.49% $103.67
6.50% $103.59
6.51% $103.52
6.52% $103.45
6.53% $103.37
6.54% $103.30
6.55% $103.23
6.56% $103.15
6.57% $103.08
6.58% $103.01
6.59% $102.94
6.60% $102.86
6.61% $102.79
6.62% $102.72
6.63% $102.64
6.64% $102.57
6.65% $102.50
6.66% $102.43
6.67% $102.35
6.68% $102.28
6.69% $102.21
6.70% $102.14
6.71% $102.06
6.72% $101.99
6.73% $101.92
6.74% $101.85
6.75% $101.78
6.76% $101.70
6.77% $101.63
6.78% $101.56
6.79% $101.49
6.80% $101.42
6.81% $101.35
6.82% $101.27
6.83% $101.20
6.84% $101.13
6.85% $101.06
6.86% $100.99
6.87% $100.92
6.88% $100.85
6.89% $100.78
6.90% $100.71
6.91% $100.63
6.92% $100.56
6.93% $100.49
6.94% $100.42
6.95% $100.35
6.96% $100.28
6.97% $100.21
6.98% $100.14
6.99% $100.07
7.00% $100.00
7.01% $99.93
7.02% $99.86
7.03% $99.79
7.04% $99.72
7.05% $99.65
7.06% $99.58
7.07% $99.51
7.08% $99.44
7.09% $99.37
7.10% $99.30
7.11% $99.23
7.12% $99.16
7.13% $99.09
7.14% $99.02
7.15% $98.95
7.16% $98.88
7.17% $98.82
7.18% $98.75
7.19% $98.68
7.20% $98.61
7.21% $98.54
7.22% $98.47
7.23% $98.40
7.24% $98.33
7.25% $98.26
7.26% $98.20
7.27% $98.13
7.28% $98.06
7.29% $97.99
7.30% $97.92
7.31% $97.85
7.32% $97.79
7.33% $97.72
7.34% $97.65
7.35% $97.58
7.36% $97.51
7.37% $97.45
7.38% $97.38
7.39% $97.31
7.40% $97.24
7.41% $97.17
7.42% $97.11
7.43% $97.04
7.44% $96.97
7.45% $96.90
7.46% $96.84
7.47% $96.77
7.48% $96.70
7.49% $96.64
7.50% $96.57
7.51% $96.50
7.52% $96.43
7.53% $96.37
7.54% $96.30
7.55% $96.23
7.56% $96.17
7.57% $96.10
7.58% $96.03
7.59% $95.97
7.60% $95.90
7.61% $95.83
7.62% $95.77
7.63% $95.70
7.64% $95.63
7.65% $95.57
7.66% $95.50
7.67% $95.44
7.68% $95.37
7.69% $95.30
7.70% $95.24
7.71% $95.17
7.72% $95.11
7.73% $95.04
7.74% $94.98
7.75% $94.91
7.76% $94.84
7.77% $94.78
7.78% $94.71
7.79% $94.65
7.80% $94.58
7.81% $94.52
7.82% $94.45
7.83% $94.39
7.84% $94.32
7.85% $94.26
7.86% $94.19
7.87% $94.13
7.88% $94.06
7.89% $94.00
7.90% $93.93
7.91% $93.87
7.92% $93.80
7.93% $93.74
7.94% $93.68
7.95% $93.61
7.96% $93.55
7.97% $93.48
7.98% $93.42
7.99% $93.35
8.00% $93.29
8.01% $93.23
8.02% $93.16
8.03% $93.10
8.04% $93.03
8.05% $92.97
8.06% $92.91
8.07% $92.84
8.08% $92.78
8.09% $92.72
8.10% $92.65
8.11% $92.59
8.12% $92.53
8.13% $92.46
8.14% $92.40
8.15% $92.34
8.16% $92.27
8.17% $92.21
8.18% $92.15
8.19% $92.08
8.20% $92.02
8.21% $91.96
8.22% $91.89
8.23% $91.83
8.24% $91.77
8.25% $91.71
8.26% $91.64
8.27% $91.58
8.28% $91.52
8.29% $91.46
8.30% $91.39
8.31% $91.33
8.32% $91.27
8.33% $91.21
8.34% $91.14
8.35% $91.08
8.36% $91.02
8.37% $90.96
8.38% $90.90
8.39% $90.83
8.40% $90.77
8.41% $90.71
8.42% $90.65
8.43% $90.59
8.44% $90.53
8.45% $90.46
8.46% $90.40
8.47% $90.34
8.48% $90.28
8.49% $90.22
8.50% $90.16
8.51% $90.10
8.52% $90.04
8.53% $89.97
8.54% $89.91
8.55% $89.85
8.56% $89.79
8.57% $89.73
8.58% $89.67
8.59% $89.61
8.60% $89.55
8.61% $89.49
8.62% $89.43
8.63% $89.37
8.64% $89.31
8.65% $89.25
8.66% $89.19
8.67% $89.13
8.68% $89.06
8.69% $89.00
8.70% $88.94
8.71% $88.88
8.72% $88.82
8.73% $88.76
8.74% $88.70
8.75% $88.64
8.76% $88.58
8.77% $88.52
8.78% $88.47
8.79% $88.41
8.80% $88.35
8.81% $88.29
8.82% $88.23
8.83% $88.17
8.84% $88.11
8.85% $88.05
8.86% $87.99
8.87% $87.93
8.88% $87.87
8.89% $87.81
8.90% $87.75
8.91% $87.69
8.92% $87.63
8.93% $87.58
8.94% $87.52
8.95% $87.46
8.96% $87.40
8.97% $87.34
8.98% $87.28
8.99% $87.22
9.00% $87.16
9.01% $87.11
9.02% $87.05
9.03% $86.99
9.04% $86.93
9.05% $86.87
9.06% $86.81
9.07% $86.76
9.08% $86.70
9.09% $86.64
9.10% $86.58
9.11% $86.52
9.12% $86.47
9.13% $86.41
9.14% $86.35
9.15% $86.29
9.16% $86.23
9.17% $86.18
9.18% $86.12
9.19% $86.06
9.20% $86.00
9.21% $85.95
9.22% $85.89
9.23% $85.83
9.24% $85.78
9.25% $85.72
9.26% $85.66
9.27% $85.60
9.28% $85.55
9.29% $85.49
9.30% $85.43
9.31% $85.38
9.32% $85.32
9.33% $85.26
9.34% $85.20
9.35% $85.15
9.36% $85.09
9.37% $85.03
9.38% $84.98
9.39% $84.92
9.40% $84.87
9.41% $84.81
9.42% $84.75
9.43% $84.70
9.44% $84.64
9.45% $84.58
9.46% $84.53
9.47% $84.47
9.48% $84.42
9.49% $84.36
9.50% $84.30
9.51% $84.25
9.52% $84.19
9.53% $84.14
9.54% $84.08
9.55% $84.02
9.56% $83.97
9.57% $83.91
9.58% $83.86
9.59% $83.80
9.60% $83.75
9.61% $83.69
9.62% $83.64
9.63% $83.58
9.64% $83.52
9.65% $83.47
9.66% $83.41
9.67% $83.36
9.68% $83.30
9.69% $83.25
9.70% $83.19
9.71% $83.14
9.72% $83.08
9.73% $83.03
9.74% $82.97
9.75% $82.92
9.76% $82.86
9.77% $82.81
9.78% $82.76
9.79% $82.70
9.80% $82.65
9.81% $82.59
9.82% $82.54
9.83% $82.48
9.84% $82.43
9.85% $82.37
9.86% $82.32
9.87% $82.27
9.88% $82.21
9.89% $82.16
9.90% $82.10
9.91% $82.05
9.92% $82.00
9.93% $81.94
9.94% $81.89
9.95% $81.83
 9.96% $81.78
9.97% $81.73
9.98% $81.67
9.99% $81.62
10.00% $81.57
10.01% $81.51
10.02% $81.46
10.03% $81.41
10.04% $81.35
10.05% $81.30
10.06% $81.25
10.07% $81.19
10.08% $81.14
10.09% $81.09
10.10% $81.03
10.11% $80.98
10.12% $80.93
10.13% $80.87
10.14% $80.82
10.15% $80.77
10.16% $80.72
10.17% $80.66
10.18% $80.61
10.19% $80.56
10.20% $80.51
10.21% $80.45
10.22% $80.40
10.23% $80.35
10.24% $80.30
10.25% $80.24
10.26% $80.19
10.27% $80.14
10.28% $80.09
10.29% $80.03
10.30% $79.98
10.31% $79.93
10.32% $79.88
10.33% $79.83
10.34% $79.77
10.35% $79.72
10.36% $79.67
10.37% $79.62
10.38% $79.57
10.39% $79.51
10.40% $79.46
10.41% $79.41
10.42% $79.36
10.43% $79.31
10.44% $79.26
10.45% $79.20
10.46% $79.15
10.47% $79.10
10.48% $79.05
10.49% $79.00
10.50% $78.95
10.51% $78.90
10.52% $78.85
10.53% $78.79
10.54% $78.74
10.55% $78.69
10.56% $78.64
10.57% $78.59
10.58% $78.54
10.59% $78.49
10.60% $78.44
10.61% $78.39
10.62% $78.34
10.63% $78.29
10.64% $78.24
10.65% $78.19
10.66% $78.13
10.67% $78.08
10.68% $78.03
10.69% $77.98
10.70% $77.93
10.71% $77.88
10.72% $77.83
10.73% $77.78
10.74% $77.73
10.75% $77.68
10.76% $77.63
10.77% $77.58
10.78% $77.53
10.79% $77.48
10.80% $77.43
10.81% $77.38
10.82% $77.33
10.83% $77.28
10.84% $77.23
10.85% $77.18
10.86% $77.13
10.87% $77.08
10.88% $77.03
10.89% $76.98
10.90% $76.94
10.91% $76.89
10.92% $76.84
10.93% $76.79
10.94% $76.74
10.95% $76.69
10.96% $76.64
10.97% $76.59
10.98% $76.54
10.99% $76.49
11.00% $76.44
11.01% $76.39
11.02% $76.35
11.03% $76.30
11.04% $76.25
11.05% $76.20
11.06% $76.15
11.07% $76.10
11.08% $76.05
11.09% $76.00
11.10% $75.96
11.11% $75.91
11.12% $75.86
11.13% $75.81
11.14% $75.76
11.15% $75.71
11.16% $75.66
11.17% $75.62
11.18% $75.57
11.19% $75.52
11.20% $75.47
11.21% $75.42
11.22% $75.38
11.23% $75.33
11.24% $75.28
11.25% $75.23
11.26% $75.18
11.27% $75.14
11.28% $75.09
11.29% $75.04
11.30% $74.99
11.31% $74.94
11.32% $74.90
11.33% $74.85
11.34% $74.80
11.35% $74.75
11.36% $74.71
11.37% $74.66
11.38% $74.61
11.39% $74.56
11.40% $74.52
11.41% $74.47
11.42% $74.42
11.43% $74.37
11.44% $74.33
11.45% $74.28
11.46% $74.23
11.47% $74.19
11.48% $74.14
11.49% $74.09
11.50% $74.05
11.51% $74.00
11.52% $73.95
11.53% $73.90
11.54% $73.86
11.55% $73.81
11.56% $73.76
11.57% $73.72
11.58% $73.67
11.59% $73.62
11.60% $73.58
11.61% $73.53
11.62% $73.48
11.63% $73.44
11.64% $73.39
11.65% $73.35
11.66% $73.30
11.67% $73.25
11.68% $73.21
11.69% $73.16
11.70% $73.11
11.71% $73.07
11.72% $73.02
11.73% $72.98
11.74% $72.93
11.75% $72.88
11.76% $72.84
11.77% $72.79
11.78% $72.75
11.79% $72.70
11.80% $72.66
11.81% $72.61
11.82% $72.56
11.83% $72.52
11.84% $72.47
11.85% $72.43
11.86% $72.38
11.87% $72.34
11.88% $72.29
11.89% $72.25
11.90% $72.20
11.91% $72.15
11.92% $72.11
11.93% $72.06
11.94% $72.02
11.95% $71.97
11.96% $71.93
11.97% $71.88
11.98% $71.84
11.99% $71.79
12.00% $71.75
12.01% $71.70
12.02% $71.66
12.03% $71.61
12.04% $71.57
12.05% $71.52
12.06% $71.48
12.07% $71.44
12.08% $71.39
12.09% $71.35
12.10% $71.30
12.11% $71.26
12.12% $71.21
12.13% $71.17
12.14% $71.12
12.15% $71.08
12.16% $71.03
12.17% $70.99
12.18% $70.95
12.19% $70.90
12.20% $70.86
12.21% $70.81
12.22% $70.77
12.23% $70.73
12.24% $70.68
12.25% $70.64
12.26% $70.59
12.27% $70.55
12.28% $70.51
12.29% $70.46
12.30% $70.42
12.31% $70.37
12.32% $70.33
12.33% $70.29
12.34% $70.24
12.35% $70.20
12.36% $70.16
12.37% $70.11
12.38% $70.07
12.39% $70.03
12.40% $69.98
12.41% $69.94
12.42% $69.90
12.43% $69.85
12.44% $69.81
12.45% $69.77
12.46% $69.72
12.47% $69.68
12.48% $69.64
12.49% $69.59
12.50% $69.55
12.51% $69.51
12.52% $69.46
12.53% $69.42
12.54% $69.38
12.55% $69.33
12.56% $69.29
12.57% $69.25
12.58% $69.21
12.59% $69.16
12.60% $69.12
12.61% $69.08
12.62% $69.04
12.63% $68.99
12.64% $68.95
12.65% $68.91
12.66% $68.87
12.67% $68.82
12.68% $68.78
12.69% $68.74
12.70% $68.70
12.71% $68.65
12.72% $68.61
12.73% $68.57
12.74% $68.53
12.75% $68.48
12.76% $68.44
12.77% $68.40
12.78% $68.36
12.79% $68.32
12.80% $68.27
12.81% $68.23
12.82% $68.19
12.83% $68.15
12.84% $68.11
12.85% $68.07
12.86% $68.02
12.87% $67.98
12.88% $67.94
12.89% $67.90
12.90% $67.86
12.91% $67.82
12.92% $67.77
12.93% $67.73
12.94% $67.69
12.95% $67.65
12.96% $67.61
12.97% $67.57
12.98% $67.53
12.99% $67.48
13.00% $67.44
13.01% $67.40
13.02% $67.36
13.03% $67.32
13.04% $67.28
13.05% $67.24
13.06% $67.20
13.07% $67.15
13.08% $67.11
13.09% $67.07
13.10% $67.03
13.11% $66.99
13.12% $66.95
13.13% $66.91
13.14% $66.87
13.15% $66.83
13.16% $66.79
13.17% $66.75
13.18% $66.71
13.19% $66.67
13.20% $66.62
13.21% $66.58
13.22% $66.54
13.23% $66.50
13.24% $66.46
13.25% $66.42
13.26% $66.38
13.27% $66.34
13.28% $66.30
13.29% $66.26
13.30% $66.22
13.31% $66.18
13.32% $66.14
13.33% $66.10
13.34% $66.06
13.35% $66.02
13.36% $65.98
13.37% $65.94
13.38% $65.90
13.39% $65.86
13.40% $65.82
13.41% $65.78
13.42% $65.74
13.43% $65.70
13.44% $65.66
13.45% $65.62
13.46% $65.58
13.47% $65.54
13.48% $65.50
13.49% $65.46
13.50% $65.42
13.51% $65.38
13.52% $65.34
13.53% $65.30
13.54% $65.27
13.55% $65.23
13.56% $65.19
13.57% $65.15
13.58% $65.11
13.59% $65.07
13.60% $65.03
13.61% $64.99
13.62% $64.95
13.63% $64.91
13.64% $64.87
13.65% $64.83
13.66% $64.79
13.67% $64.76
13.68% $64.72
13.69% $64.68
13.70% $64.64
13.71% $64.60
13.72% $64.56
13.73% $64.52
13.74% $64.48
13.75% $64.44
13.76% $64.41
13.77% $64.37
13.78% $64.33
13.79% $64.29
13.80% $64.25
13.81% $64.21
13.82% $64.17
13.83% $64.14
13.84% $64.10
13.85% $64.06
13.86% $64.02
13.87% $63.98
13.88% $63.94
13.89% $63.91
13.90% $63.87
13.91% $63.83
13.92% $63.79
13.93% $63.75
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13.95% $63.68
13.96% $63.64
13.97% $63.60
13.98% $63.56
13.99% $63.53
14.00% $63.49
14.01% $63.45
14.02% $63.41
14.03% $63.37
14.04% $63.34
14.05% $63.30
14.06% $63.26
14.07% $63.22
14.08% $63.18
14.09% $63.15
14.10% $63.11
14.11% $63.07
14.12% $63.03
14.13% $63.00
14.14% $62.96
14.15% $62.92
14.16% $62.88
14.17% $62.85
14.18% $62.81
14.19% $62.77
14.20% $62.74
14.21% $62.70
14.22% $62.66
14.23% $62.62
14.24% $62.59
14.25% $62.55
14.26% $62.51
14.27% $62.48
14.28% $62.44
14.29% $62.40
14.30% $62.36
14.31% $62.33
14.32% $62.29
14.33% $62.25
14.34% $62.22
14.35% $62.18
14.36% $62.14
14.37% $62.11
14.38% $62.07
14.39% $62.03
14.40% $62.00
14.41% $61.96
14.42% $61.92
14.43% $61.89
14.44% $61.85
14.45% $61.81
14.46% $61.78
14.47% $61.74
14.48% $61.70
14.49% $61.67
14.50% $61.63
14.51% $61.59
14.52% $61.56
14.53% $61.52
14.54% $61.49
14.55% $61.45
14.56% $61.41
14.57% $61.38
14.58% $61.34
14.59% $61.30
14.60% $61.27
14.61% $61.23
14.62% $61.20
14.63% $61.16
14.64% $61.12
14.65% $61.09
14.66% $61.05
14.67% $61.02
14.68% $60.98
14.69% $60.95
14.70% $60.91
14.71% $60.87
14.72% $60.84
14.73% $60.80
14.74% $60.77
14.75% $60.73
14.76% $60.70
14.77% $60.66
14.78% $60.62
14.79% $60.59
14.80% $60.55
14.81% $60.52
14.82% $60.48
14.83% $60.45
14.84% $60.41
14.85% $60.38
14.86% $60.34
14.87% $60.31
14.88% $60.27
14.89% $60.24
14.90% $60.20
14.91% $60.16
14.92% $60.13
14.93% $60.09
14.94% $60.06
14.95% $60.02
14.96% $59.99
14.97% $59.95
14.98% $59.92
14.99% $59.88
15.00% $59.85
15.01% $59.81
15.02% $59.78
15.03% $59.75
15.04% $59.71
15.05% $59.68
15.06% $59.64
15.07% $59.61
15.08% $59.57
15.09% $59.54
15.10% $59.50
15.11% $59.47
15.12% $59.43
15.13% $59.40
15.14% $59.36
15.15% $59.33
15.16% $59.30
15.17% $59.26
15.18% $59.23
15.19% $59.19
15.20% $59.16
15.21% $59.12
15.22% $59.09
15.23% $59.06
15.24% $59.02
15.25% $58.99
15.26% $58.95
15.27% $58.92
15.28% $58.88
15.29% $58.85
15.30% $58.82
15.31% $58.78
15.32% $58.75
15.33% $58.71
15.34% $58.68
15.35% $58.65
15.36% $58.61
15.37% $58.58
15.38% $58.54
15.39% $58.51
15.40% $58.48
15.41% $58.44
15.42% $58.41
15.43% $58.38
15.44% $58.34
15.45% $58.31
15.46% $58.28
15.47% $58.24
15.48% $58.21
15.49% $58.17
15.50% $58.14
15.51% $58.11
15.52% $58.07
15.53% $58.04
15.54% $58.01
15.55% $57.97
15.56% $57.94
15.57% $57.91
15.58% $57.87
15.59% $57.84
15.60% $57.81
15.61% $57.77
15.62% $57.74
15.63% $57.71
15.64% $57.68
15.65% $57.64
15.66% $57.61
15.67% $57.58
15.68% $57.54
15.69% $57.51
15.70% $57.48
15.71% $57.44
15.72% $57.41
15.73% $57.38
15.74% $57.35
15.75% $57.31
15.76% $57.28
15.77% $57.25
15.78% $57.21
15.79% $57.18
15.80% $57.15
15.81% $57.12
15.82% $57.08
15.83% $57.05
15.84% $57.02
15.85% $56.99
15.86% $56.95
15.87% $56.92
15.88% $56.89
15.89% $56.86
15.90% $56.82
15.91% $56.79
15.92% $56.76
15.93% $56.73
15.94% $56.69
15.95% $56.66
15.96% $56.63
15.97% $56.60
15.98% $56.57
15.99% $56.53
16.00% $56.50
16.01% $56.47
16.02% $56.44
16.03% $56.40
16.04% $56.37
16.05% $56.34
16.06% $56.31
16.07% $56.28
16.08% $56.24
16.09% $56.21
16.10% $56.18
16.11% $56.15
16.12% $56.12
16.13% $56.09
16.14% $56.05
16.15% $56.02
16.16% $55.99
16.17% $55.96
16.18% $55.93
16.19% $55.90
16.20% $55.86
16.21% $55.83
16.22% $55.80
16.23% $55.77
16.24% $55.74
16.25% $55.71
16.26% $55.67
16.27% $55.64
16.28% $55.61
16.29% $55.58
16.30% $55.55
16.31% $55.52
16.32% $55.49
16.33% $55.45
16.34% $55.42
16.35% $55.39
16.36% $55.36
16.37% $55.33
16.38% $55.30
16.39% $55.27
16.40% $55.24
16.41% $55.21
16.42% $55.17
16.43% $55.14
16.44% $55.11
16.45% $55.08
16.46% $55.05
16.47% $55.02
16.48% $54.99
16.49% $54.96
16.50% $54.93
16.51% $54.90
16.52% $54.86
16.53% $54.83
16.54% $54.80
16.55% $54.77
16.56% $54.74
16.57% $54.71
16.58% $54.68
16.59% $54.65
16.60% $54.62
16.61% $54.59
16.62% $54.56
16.63% $54.53
16.64% $54.50
16.65% $54.47
16.66% $54.44
16.67% $54.41
16.68% $54.37
16.69% $54.34
16.70% $54.31
16.71% $54.28
16.72% $54.25
16.73% $54.22
16.74% $54.19
16.75% $54.16
16.76% $54.13
16.77% $54.10
16.78% $54.07
16.79% $54.04
16.80% $54.01
16.81% $53.98
16.82% $53.95
16.83% $53.92
16.84% $53.89
16.85% $53.86
16.86% $53.83
16.87% $53.80
16.88% $53.77
16.89% $53.74
16.90% $53.71
16.91% $53.68
16.92% $53.65
16.93% $53.62
16.94% $53.59
16.95% $53.56
16.96% $53.53
16.97% $53.50
16.98% $53.47
16.99% $53.44
17.00% $53.41
17.01% $53.38
17.02% $53.35
17.03% $53.33
17.04% $53.30
17.05% $53.27
17.06% $53.24
17.07% $53.21
17.08% $53.18
17.09% $53.15
17.10% $53.12
17.11% $53.09
17.12% $53.06
17.13% $53.03
17.14% $53.00
17.15% $52.97
17.16% $52.94
17.17% $52.91
17.18% $52.88
17.19% $52.86
17.20% $52.83
17.21% $52.80
17.22% $52.77
17.23% $52.74
17.24% $52.71
17.25% $52.68
17.26% $52.65
17.27% $52.62
17.28% $52.59
17.29% $52.56
17.30% $52.54
17.31% $52.51
17.32% $52.48
17.33% $52.45
17.34% $52.42
17.35% $52.39
17.36% $52.36
17.37% $52.33
17.38% $52.30
17.39% $52.28
17.40% $52.25
17.41% $52.22
17.42% $52.19
17.43% $52.16
17.44% $52.13
17.45% $52.10
17.46% $52.08
17.47% $52.05
17.48% $52.02
17.49% $51.99
17.50% $51.96
17.51% $51.93
17.52% $51.90
17.53% $51.88
17.54% $51.85
17.55% $51.82
17.56% $51.79
17.57% $51.76
17.58% $51.73
17.59% $51.71
17.60% $51.68
17.61% $51.65
17.62% $51.62
17.63% $51.59
17.64% $51.56
17.65% $51.54
17.66% $51.51
17.67% $51.48
17.68% $51.45
17.69% $51.42
17.70% $51.40
17.71% $51.37
17.72% $51.34
17.73% $51.31
17.74% $51.28
17.75% $51.26
17.76% $51.23
17.77% $51.20
17.78% $51.17
17.79% $51.14
17.80% $51.12
17.81% $51.09
17.82% $51.06
17.83% $51.03
17.84% $51.01
17.85% $50.98
17.86% $50.95
17.87% $50.92
17.88% $50.90
17.89% $50.87
17.90% $50.84
17.91% $50.81
17.92% $50.78
17.93% $50.76
17.94% $50.73
17.95% $50.70
17.96% $50.67
17.97% $50.65
17.98% $50.62
17.99% $50.59
18.00% $50.57
18.01% $50.54
18.02% $50.51
18.03% $50.48
18.04% $50.46
18.05% $50.43
18.06% $50.40
18.07% $50.37
18.08% $50.35
18.09% $50.32
18.10% $50.29
18.11% $50.27
18.12% $50.24
18.13% $50.21
18.14% $50.18
18.15% $50.16
18.16% $50.13
18.17% $50.10
18.18% $50.08
18.19% $50.05
18.20% $50.02
18.21% $49.99
18.22% $49.97
18.23% $49.94
18.24% $49.91
18.25% $49.89
18.26% $49.86
18.27% $49.83
18.28% $49.81
18.29% $49.78
18.30% $49.75
18.31% $49.73
18.32% $49.70
18.33% $49.67
18.34% $49.65
18.35% $49.62
18.36% $49.59
18.37% $49.57
18.38% $49.54
18.39% $49.51
18.40% $49.49
18.41% $49.46
18.42% $49.43
18.43% $49.41
18.44% $49.38
18.45% $49.35
18.46% $49.33
18.47% $49.30
18.48% $49.28
18.49% $49.25
18.50% $49.22
18.51% $49.20
18.52% $49.17
18.53% $49.14
18.54% $49.12
18.55% $49.09
18.56% $49.07
18.57% $49.04
18.58% $49.01
18.59% $48.99
18.60% $48.96
18.61% $48.93
18.62% $48.91
18.63% $48.88
18.64% $48.86
18.65% $48.83
18.66% $48.80
18.67% $48.78
18.68% $48.75
18.69% $48.73
18.70% $48.70
18.71% $48.68
18.72% $48.65
18.73% $48.62
18.74% $48.60
18.75% $48.57
18.76% $48.55
18.77% $48.52
18.78% $48.49
18.79% $48.47
18.80% $48.44
18.81% $48.42
18.82% $48.39
18.83% $48.37
18.84% $48.34
18.85% $48.31
18.86% $48.29
18.87% $48.26
18.88% $48.24
18.89% $48.21
18.90% $48.19
18.91% $48.16
18.92% $48.14
18.93% $48.11
18.94% $48.08
18.95% $48.06
18.96% $48.03
18.97% $48.01
18.98% $47.98
18.99% $47.96
19.00% $47.93
19.01% $47.91
19.02% $47.88
19.03% $47.86
19.04% $47.83
19.05% $47.81
19.06% $47.78
19.07% $47.76
19.08% $47.73
19.09% $47.71
19.10% $47.68
19.11% $47.66
19.12% $47.63
19.13% $47.61
19.14% $47.58
19.15% $47.56
19.16% $47.53
19.17% $47.51
19.18% $47.48
19.19% $47.46
19.20% $47.43
19.21% $47.41
19.22% $47.38
19.23% $47.36
19.24% $47.33
19.25% $47.31
19.26% $47.28
19.27% $47.26
19.28% $47.23
19.29% $47.21
19.30% $47.18
19.31% $47.16
19.32% $47.13
19.33% $47.11
19.34% $47.08
19.35% $47.06
19.36% $47.03
19.37% $47.01
19.38% $46.99
19.39% $46.96
19.40% $46.94
19.41% $46.91
19.42% $46.89
19.43% $46.86
19.44% $46.84
19.45% $46.81
19.46% $46.79
19.47% $46.76
19.48% $46.74
19.49% $46.72
19.50% $46.69
19.51% $46.67
19.52% $46.64
19.53% $46.62
19.54% $46.59
19.55% $46.57
19.56% $46.55
19.57% $46.52
19.58% $46.50
19.59% $46.47
19.60% $46.45
19.61% $46.43
19.62% $46.40
19.63% $46.38
19.64% $46.35
19.65% $46.33
19.66% $46.30
19.67% $46.28
19.68% $46.26
19.69% $46.23
19.70% $46.21
19.71% $46.18
19.72% $46.16
19.73% $46.14
19.74% $46.11
19.75% $46.09
19.76% $46.07
19.77% $46.04
19.78% $46.02
19.79% $45.99
19.80% $45.97
19.81% $45.95
19.82% $45.92
19.83% $45.90
19.84% $45.87
19.85% $45.85
19.86% $45.83
19.87% $45.80
19.88% $45.78
19.89% $45.76
19.90% $45.73
19.91% $45.71
19.92% $45.69
19.93% $45.66
19.94% $45.64
19.95% $45.62
19.96% $45.59
19.97% $45.57
19.98% $45.54
19.99% $45.52
20.00% $45.50
20.01% $45.47
20.02% $45.45
20.03% $45.43
20.04% $45.40
20.05% $45.38
20.06% $45.36
20.07% $45.33
20.08% $45.31
20.09% $45.29
20.10% $45.26
20.11% $45.24
20.12% $45.22
20.13% $45.19
20.14% $45.17
20.15% $45.15
20.16% $45.13
20.17% $45.10
20.18% $45.08
20.19% $45.06
20.20% $45.03
20.21% $45.01
20.22% $44.99
20.23% $44.96
20.24% $44.94
20.25% $44.92
20.26% $44.89
20.27% $44.87
20.28% $44.85
20.29% $44.83
20.30% $44.80
20.31% $44.78
20.32% $44.76
20.33% $44.73
20.34% $44.71
20.35% $44.69
20.36% $44.67
20.37% $44.64
20.38% $44.62
20.39% $44.60
20.40% $44.58
20.41% $44.55
20.42% $44.53
20.43% $44.51
20.44% $44.48
20.45% $44.46
20.46% $44.44
20.47% $44.42
20.48% $44.39
20.49% $44.37
20.50% $44.35
20.51% $44.33
20.52% $44.30
20.53% $44.28
20.54% $44.26
20.55% $44.24
20.56% $44.21
20.57% $44.19
20.58% $44.17
20.59% $44.15
20.60% $44.12
20.61% $44.10
20.62% $44.08
20.63% $44.06
20.64% $44.03
20.65% $44.01
20.66% $43.99
20.67% $43.97
20.68% $43.95
20.69% $43.92
20.70% $43.90
20.71% $43.88
20.72% $43.86
20.73% $43.83
20.74% $43.81
20.75% $43.79
20.76% $43.77
20.77% $43.75
20.78% $43.72
20.79% $43.70
20.80% $43.68
20.81% $43.66
20.82% $43.64
20.83% $43.61
20.84% $43.59
20.85% $43.57
20.86% $43.55
20.87% $43.53
20.88% $43.50
20.89% $43.48
20.90% $43.46
20.91% $43.44
20.92% $43.42
20.93% $43.40
20.94% $43.37
20.95% $43.35
20.96% $43.33
20.97% $43.31
20.98% $43.29
20.99% $43.26
21.00% $43.24
21.01% $43.22
21.02% $43.20
21.03% $43.18
21.04% $43.16
21.05% $43.13
21.06% $43.11
21.07% $43.09
21.08% $43.07
21.09% $43.05
21.10% $43.03
21.11% $43.01
21.12% $42.98
21.13% $42.96
21.14% $42.94
21.15% $42.92
21.16% $42.90
21.17% $42.88
21.18% $42.85
21.19% $42.83
21.20% $42.81
21.21% $42.79
21.22% $42.77
21.23% $42.75
21.24% $42.73
21.25% $42.71
21.26% $42.68
21.27% $42.66
21.28% $42.64
21.29% $42.62
21.30% $42.60
21.31% $42.58
21.32% $42.56
21.33% $42.54
21.34% $42.51
21.35% $42.49
21.36% $42.47
21.37% $42.45
21.38% $42.43
21.39% $42.41
21.40% $42.39
21.41% $42.37
21.42% $42.35
21.43% $42.32
21.44% $42.30
21.45% $42.28
21.46% $42.26
21.47% $42.24
21.48% $42.22
21.49% $42.20
21.50% $42.18
21.51% $42.16
21.52% $42.14
21.53% $42.12
21.54% $42.09
21.55% $42.07
21.56% $42.05
21.57% $42.03
21.58% $42.01
21.59% $41.99
21.60% $41.97
21.61% $41.95
21.62% $41.93
21.63% $41.91
21.64% $41.89
21.65% $41.87
21.66% $41.85
21.67% $41.82
21.68% $41.80
21.69% $41.78
21.70% $41.76
21.71% $41.74
21.72% $41.72
21.73% $41.70
21.74% $41.68
21.75% $41.66
21.76% $41.64
21.77% $41.62
21.78% $41.60
21.79% $41.58
21.80% $41.56
21.81% $41.54
21.82% $41.52
21.83% $41.50
21.84% $41.48
21.85% $41.46
21.86% $41.44
21.87% $41.42
21.88% $41.39
21.89% $41.37
21.90% $41.35
21.91% $41.33
21.92% $41.31
21.93% $41.29
21.94% $41.27
21.95% $41.25
21.96% $41.23
21.97% $41.21
21.98% $41.19
21.99% $41.17
22.00% $41.15
22.01% $41.13
22.02% $41.11
22.03% $41.09
22.04% $41.07
22.05% $41.05
22.06% $41.03
22.07% $41.01
22.08% $40.99
22.09% $40.97
22.10% $40.95
22.11% $40.93
22.12% $40.91
22.13% $40.89
22.14% $40.87
22.15% $40.85
22.16% $40.83
22.17% $40.81
22.18% $40.79
22.19% $40.77
22.20% $40.75
22.21% $40.73
22.22% $40.71
22.23% $40.69
22.24% $40.67
22.25% $40.65
22.26% $40.63
22.27% $40.61
22.28% $40.59
22.29% $40.57
22.30% $40.55
22.31% $40.54
22.32% $40.52
22.33% $40.50
22.34% $40.48
22.35% $40.46
22.36% $40.44
22.37% $40.42
22.38% $40.40
22.39% $40.38
22.40% $40.36
22.41% $40.34
22.42% $40.32
22.43% $40.30
22.44% $40.28
22.45% $40.26
22.46% $40.24
22.47% $40.22
22.48% $40.20
22.49% $40.18
22.50% $40.16
22.51% $40.14
22.52% $40.13
22.53% $40.11
22.54% $40.09
22.55% $40.07
22.56% $40.05
22.57% $40.03
22.58% $40.01
22.59% $39.99
22.60% $39.97
22.61% $39.95
22.62% $39.93
22.63% $39.91
22.64% $39.89
22.65% $39.87
22.66% $39.86
22.67% $39.84
22.68% $39.82
22.69% $39.80
22.70% $39.78
22.71% $39.76
22.72% $39.74
22.73% $39.72
22.74% $39.70
22.75% $39.68
22.76% $39.66
22.77% $39.65
22.78% $39.63
22.79% $39.61
22.80% $39.59
22.81% $39.57
22.82% $39.55
22.83% $39.53
22.84% $39.51
22.85% $39.49
22.86% $39.47
22.87% $39.46
22.88% $39.44
22.89% $39.42
22.90% $39.40
22.91% $39.38
22.92% $39.36
22.93% $39.34
22.94% $39.32
22.95% $39.31
22.96% $39.29
22.97% $39.27
22.98% $39.25
22.99% $39.23
23.00% $39.21
23.01% $39.19
23.02% $39.17
23.03% $39.16
23.04% $39.14
23.05% $39.12
23.06% $39.10
23.07% $39.08
23.08% $39.06
23.09% $39.04
23.10% $39.03
23.11% $39.01
23.12% $38.99
23.13% $38.97
23.14% $38.95
23.15% $38.93
23.16% $38.91
23.17% $38.90
23.18% $38.88
23.19% $38.86
23.20% $38.84
23.21% $38.82
23.22% $38.80
23.23% $38.79
23.24% $38.77
23.25% $38.75
23.26% $38.73
23.27% $38.71
23.28% $38.69
23.29% $38.68
23.30% $38.66
23.31% $38.64
23.32% $38.62
23.33% $38.60
23.34% $38.58
23.35% $38.57
23.36% $38.55
23.37% $38.53
23.38% $38.51
23.39% $38.49
23.40% $38.47
23.41% $38.46
23.42% $38.44
23.43% $38.42
23.44% $38.40
23.45% $38.38
23.46% $38.37
23.47% $38.35
23.48% $38.33
23.49% $38.31
23.50% $38.29
23.51% $38.28
23.52% $38.26
23.53% $38.24
23.54% $38.22
23.55% $38.20
23.56% $38.19
23.57% $38.17
23.58% $38.15
23.59% $38.13
23.60% $38.11
23.61% $38.10
23.62% $38.08
23.63% $38.06
23.64% $38.04
23.65% $38.02
23.66% $38.01
23.67% $37.99
23.68% $37.97
23.69% $37.95
23.70% $37.94
23.71% $37.92
23.72% $37.90
23.73% $37.88
23.74% $37.86
23.75% $37.85
23.76% $37.83
23.77% $37.81
23.78% $37.79
23.79% $37.78
23.80% $37.76
23.81% $37.74
23.82% $37.72
23.83% $37.71
23.84% $37.69
23.85% $37.67
23.86% $37.65
23.87% $37.64
23.88% $37.62 $160.00

23.89% $37.60 $140.00

23.90% $37.58 $120.00

23.91% $37.57 $100.00

23.92% $37.55 $80.00

$60.00
23.93% $37.53
$40.00
23.94% $37.51
$20.00
23.95% $37.50
$0.00
23.96% $37.48 0.00% 5.00% 10.00%

23.97% $37.46
23.98% $37.44
23.99% $37.43
24.00% $37.41
 he measures to evaluate

ements
ermining

its market price

ill reduce.

ket risk?

lationship
of interest
 in interest rate

ation of 5
1% upwards

* 150* (.1%)^2

e; is defined as

or a while to get this answer)

rst one with duration of 3

fied duration

sh flows?

P0 P-low P-high
8.00% 8.01% 7.99%
$100.00 $99.97423 $100.02578

2.58
Formula 1

s increase of .02578
drop of .02577
net price change
 P0 P-low P-high
8.00% 8.01% 7.99%
$100.00 $99.97 $100.03

3.31

P0 P-low P-high
8.00% 8.01% 7.99%
$93.38 $93.34 $93.41

3.39
 P0 P-low P-high
6.00% 6.01% 5.99%
$100.00 $99.97 $100.03

3.47

? Why use this approximate method?

get an estimate of the market risk.

rage portfolio duration.
would expect a higher return.

would increase duration

uration of 3.47
ne would be 3.47% ,
 $96.61 ie decline of 3.39%

count rate of 6% p.a.

5.99%
$79.24
3.77

ket risk of a bond with its tenor.

n is equal to 4

iscounting rate of interest)

 Modified duration
6.00% 6.01% 5.99%
$100.00 $99.97 $100.03
3.46511

lationship holds for

n bearing bonds as well
caulay duration/ (1+discounting rate of interest)

d duration

Note that the

rate is half yearly
rate

5.01% 4.99%
99.95 100.05
5.08 half years
2.54 years
 half years
as in "17" above
same relationship holds
Note that the discounting rate is for the corresponding
period

s to simplify the price change formula so that

e change for a given change in the interest rate

ice using both duration and convexity

uration of 3.47* and convexity of 15.87*

ne would be 3.39% ,
 $96.6128 ie decline of 3.3872%

Formula 1 Formula 2

10.075431
28.515372
6.01% 5.99% 53.802588
99.97 100.03 1494.5163
Duration 3.47 1586.9097
Convexity 15.8691 15.869097

price change is not the same

D=3.47, C=15.87

nvexity in the bond price to interest rate

0.22 0.27
tes of interest from 2% p.a. to 24% p.a.
plot the curve above.
 Chart Title

5.00% 10.00% 15.00% 20.00% 25.00% 30.00%

=D261*(D261+1)*E261/((1+6%)^(D261+2))
=D262*(D262+1)*E262/((1+6%)^(D262+2))
=D263*(D263+1)*E263/((1+6%)^(D263+2))
=D264*(D264+1)*E264/((1+6%)^(D264+2))
=SUM(M261:M264)
=M265/G264
15.87
 8/11/2023

Bond Prices and Yield to Maturity Relatios

Calculate the Bond Prices as below

Bond Face value 1000

Coupon Rate 7%
Coupon Frequency 2Semi annual
Maturity 30Years

YTM Price YIELD CURVE

0.25% ₹2,949.75 ₹3,500.00

0.50% ₹2,808.70 ₹3,000.00

0.75% ₹2,676.23 ₹2,500.00

₹2,000.00
1.00% ₹2,551.77
₹1,500.00
1.25% ₹2,434.78 ₹1,000.00

1.50% ₹2,324.77 ₹500.00

1.75% ₹2,221.28 ₹0.00

0.00% 2.00% 4.00% 6.00% 8.00

2.00% ₹2,123.88
2.25% ₹2,032.17
2.50% ₹1,945.78
2.75% ₹1,864.37
3.00% ₹1,787.61
3.25% ₹1,715.20
3.50% ₹1,646.87
3.75% ₹1,582.35
4.00% ₹1,521.41
4.25% ₹1,463.82
4.50% ₹1,409.36
4.75% ₹1,357.85
5.00% ₹1,309.09
5.25% ₹1,262.91
5.50% ₹1,219.17
5.75% ₹1,177.70
6.00% ₹1,138.38
6.25% ₹1,101.06
6.50% ₹1,065.63
6.75% ₹1,031.98
7.00% ₹1,000.00
7.25% ₹969.59
7.50% ₹940.66
7.75% ₹913.11
8.00% ₹886.88
8.25% ₹861.89
8.50% ₹838.05
8.75% ₹815.32
9.00% ₹793.62
9.25% ₹772.90
9.50% ₹753.10
9.75% ₹734.17
10.00% ₹716.06
turity Relatioship

1 BPS 0.01%
10 BPS 0.10%%
25 BPS 0.25%
Semi annual 50 BPS 0.50%
100 BPS 1.00%

YIELD CURVE

2.00% 4.00% 6.00% 8.00% 1 0 . 0 0% 1 2 . 0 0%

Macaulay Duration is a concept used in finance and investme
It is named after Frederick Macaulay, the Canadian economi
Macaulay Duration is an important tool for managing interes

Here are some key points about Macaulay Duration:

1. **Definition**: Macaulay Duration is the weighted averag

where the weights are the present values of those cash flow
it represents the effective maturity of a bond, taking into acc

2. **Mathematical Formula**: The Macaulay Duration of a bo

Where:
- *Ct* is the cash flow at time *t*.
- *t* is the time in years.
- *n* is the number of periods (usually years).
 - *y* is the yield to maturity (YTM) or the market interest rat

3. **Interpretation**: The Macaulay Duration provides an es

their initial investment through the bond's coupon payments
It takes into account the size of each payment and the time a

4. **Interest Rate Sensitivity**: Macaulay Duration is used to

The relationship between Macaulay Duration and interest ra
the bond's price tends to decrease, and vice versa. This is be

5. **Duration and Convexity**: While Macaulay Duration pro

change for small interest rate changes, it doesn't fully captur
accurate estimate of price changes due to larger interest rate
To address this, the concept of convexity is introduced.
Convexity measures the curvature and provides a more

6. **Application**: Macaulay Duration is commonly used by

By calculating the Macaulay Duration of a portfolio, manage
decisions about adjusting the portfolio's composition to mitig

Remember that Macaulay Duration is a useful tool, but it has

It assumes a flat yield curve and constant cash flows, which m
More advanced models and techniques, such as modified dura
have been developed to address these limitations and provide

Macaulay duration only measures fixed period c

Thus for Fixed Period Hybrid ARM mortgages, fo
Macaulay duration discounts all cash flows at th
Macaulay duration uses both principal and intere
nce and investment to measure the sensitivity of a bond's price to changes
anadian economist who introduced the concept in 1938.
managing interest rate risk in a bond portfolio.

uration:

weighted average time it takes for an investor to receive the bond's cash fl
f those cash flows. In simpler terms,
d, taking into account both the timing and amount of each cash flow.

Duration of a bond can be calculated using the following formula:

 arket interest rate.

on provides an estimate of how long it takes for an investor to recover

oupon payments and principal repayment. time until the bond's cash flows
nt and the time at which it is received. A higher Macaulay Duration indicat

uration is used to assess a bond's sensitivity to changes in interest rates.

on and interest rate changes is inverse: as interest rates increase, decreases
versa. This is because the present value of future cash flows

ulay Duration provides a linear approximation of a bond's price

esn't fully capture the curvature of the price-yield relationship.
rger interest rate shifts.
ntroduced.
des a more

mmonly used by bond portfolio managers to evaluate and manage interest

ortfolio, managers can make informed
mposition to mitigate the impact of potential interest rate changes.

ul tool, but it has its limitations.

h flows, which may not accurately reflect real-world conditions.
 as modified duration and effective duration,
tions and provide better estimates of interest rate sensitivity.

ixed period cash flows, Weighted Average Life factors in all

mortgages, for modeling purposes, the entire fixed period e
sh flows at the corresponding cost of capital. Weighted Ave
pal and interest when weighting cash flows. Weighted Aver
price to changes in interest rates.

he bond's cash flows,

cash flow.

ormula:
 r to recover
bond's cash flows are received, and vice versa.
Duration indicates a longer

interest rates.
rease, decreases as interest rates rise.

manage interest rate risk.

changes.
e factors in all principal cash flows whether they be in fixed
fixed period ends on the date of the last fixed payment or th
Weighted Average Life does not discount.
Weighted Average Life only uses principal.
 y be in fixed or floating.
payment or the month prior to reset.
What is Macaulay Duration ?
Macaulay duration is a int rate risk measu

How do you calcualte the Macaulay Durati

Calculate the Mac Duration for the below

Face value of the bond

Coupon Rate
Coupon frequency
Tenor
Yield to Maturity

Term CFS
1 80
2 80
3 80
4 80
5 1080

Mac Duration

Mac Duration Means that a bond investor

his investment in 4.3 years
Always Mac Duration will be less than ma
That is 4.3< 5
Illustration No 2
Compute the Macaulay duration of the be
Face value of the bond
Coupon rate
Coupon Frequency
Tenor
YTM

Term CFS
1 4
2 4
3 4
4 4
5 4
6 4
7 4
8 104
Mac Duration
Mac Duration

Note : for Semi annual coupon, divide by

Calculate Macaulay duration for the below

Bond face value

Coupon Rate
Coupon Frequrency
Tenor
YTM

Term CFs
1 12.5
 2 12.5
3 12.5
4 12.5
5 12.5
6 12.5
7 12.5
8 12.5
9 12.5
10 12.5
11 12.5
12 1012.5

Mac duration

Note : For quarterly coupon we have to d

Calculate the Macaulay duration for a zer

Face value or redemption value

YTM
Tenor

Term CFS
1 0
2 0
3 0
4 0
5 1000

Mac duration
Note : For Zero Coupon bond , Mac durati

Note
What does Mac Duration indicate >
It means the int rate risk sensitivity
Higher the duration, higher the risk of the
Lower the duration , lower the risk of the

Estimate the Macaulay Duration of the be

Bond A
Face value 1000
Coupon Rate 8%
Coupon Frequ 2
Tenor 5
YTM 9%
Bond A
Term CFS
 1 40
2 40
3 40
4 40
5 40
6 40
7 40
8 40
9 40
10 1040

Mac Duration
divide by 2
Bond A is less Riskier

Calculate the Modified duration for Bond

MD

Modified duration is the better risk sensi

as it takes into account the frequency of
Modified duration is also referred as Dur
ation ?
int rate risk measuremnt

he Macaulay Duration ?

ation for the below bond ?

 PV of CFS t * PV of CFS
73.3944954 73.39449541
67.3343995 134.6687989
61.7746784 185.3240352
56.6740169 226.6960675
701.925897 3509.629486
961.103487 4129.712883

Sum of (t * PV of CFS)/ CMP

hat a bond investor will recover approximately

will be less than maturity of the bond

y duration of the below bond
100
8%
2
4
9%

PV of CFS t* PV of CFS
3.8277512 3.827751196
3.6629198 7.32583961
3.50518642 10.51555925
3.35424537 13.4169815
3.20980419 16.04902093
3.07158295 18.42949772
2.93931383 20.57519682
73.1312532 585.0500256
 96.702057 675.1898727

6.982166604=E52/D52
3.491083302=E54/2

coupon, divide by 2 the final answer

ration for the below bond

1000
5%
4Quarterly
3years
6%

PV of CFs t * PV of CFs
12.3152709 12.31527094=B68*D68
 12.1332719 24.26654372
11.9539624 35.86188727
11.7773029 47.10921151
11.6032541 58.01627034
11.4317774 68.59066444
11.2628349 78.83984418
11.096389 88.77111238
10.932403 98.39162702
10.7708404 107.708404
10.6116654 116.7283196
846.842265 10162.10718
972.731237 10898.70633=SUM(E68:E79)

11.20423188=E80/D80
2.801057969=E82/4
upon we have to divide by 4 to get the final answer
y duration for a zero coupon bond

on value 1000
8%
5

PV of CFS t * PV of CFS
0 0=B94*D94
0 0
0 0
0 0
680.583197 3402.915985=B98*D98
680.583197 3402.915985=SUM(E94:E98)

5=E99/D99
n bond , Mac duration is always equal to the tenor o

on indicate >
sk sensitivity
gher the risk of the bond
wer the risk of the bond

Duration of the below two bonds and indicate whi

Bond B
1000
6%
1
5
9%
Bond B
PV of CFS t * PV of CFS
 38.277512 38.27751196
36.629198 73.2583961
35.0518642 105.1555925
33.5424537 134.169815
32.0980419 160.4902093
30.7158295 184.2949772
29.3931383 205.7519682
28.1274051 225.0192406
26.9161771 242.245594
669.684789 6696.847893
960.436409 8065.511198

8.3977566
4.1988783divide by the frequency of coupo

Bond A Bond B
4.1988783 4.426188824
duration for Bond A and Bond B

4.01806536 4.0607236915
=D136/(1+C117/C115) =E136/(1+D117)

he better risk sensitive measurement,

t the frequency of copuon payments
so referred as Duration
1000
8%
1
5Years
 9%

4.29685=E26/D26

ately
semi annual
Years
:E79)

al answer
 years

:E98)
he tenor of the bond

icate which is more riskier?

 TermCFS PV of CFst * PV of CFS
1 60 55.0459 55.0459
2 60 50.5008 101.002
3 60 46.331 138.993
4 60 42.5055 170.022
5 1060 688.927 3444.64
883.31 3909.7

Mac duration 4.42619

of coupon
D117)
/D26
Modified Duration is a financial concept closely related to Ma
sensitivity of a bond's price to changes in interest rates.
It addresses some of the limitations of Macaulay Duration an
accurate estimate of a bond's price change in response to int

Here are key points to understand about Modified Duration:

1. **Definition**: Modified Duration is a measure of a bond's

It calculates the percentage change in the bond's price for a 1

2. **Mathematical Formula**: The formula to calculate Modifi

 Where:
- *MD* is the Modified Duration.
- *MacD* is the Macaulay Duration.
- *YTM* is the yield to maturity (expressed as a decimal).

3. **Interpretation**: Modified Duration provides an estimate

For example, if the Modified Duration of a bond is 5, it implies
Conversely, a 1% decrease in yield would lead to an approxim

4. **Advantages over Macaulay Duration**: Modified Durati

Duration by providing a more accurate estimate of bond pric
Macaulay Duration assumes a linear relationship between bo
Modified Duration adjusts for the nonlinear price-yield relati

5. **Application**: Modified Duration is extensively used by in

portfolio managers, and about portfolio composition, hedging
risk analysts to assess and manage interest rate risk in bond po

6. **Limitations**: While Modified Duration is a valuable tool

it still assumes a parallel shift in the entire yield curve. In reali
and other factors such as credit spreads and market liquidity
To address these limitations, more sophisticated measures lik
7. **Duration and Convexity**: Modified Duration is often use
Convexity measures the curvature of the bond price-yield rela
While Modified Duration provides a linear approximation, con

In summary, Modified Duration is a vital tool for assessing inte

compared to Macaulay Duration, especially for larger changes
widely used in fixed-income portfolio management. It provide

Formula for Modified Duraiton (Short Cut)

Modified Duration
=(P-high-P-low)/(2*P0*∆r )
Phigh Price high when Yield is Low (Yield less one BSP)
Plow Price Low when Yield is High (Yield Plus One BSP)
Po Price at current Yield %
∆r change in Yield % (One Basis Point)
One Basis Point Change is the minimum interest rate change
One BSP = 0.01% or 0.0001
 ely related to Macaulay Duration that is used to measure the
erest rates.
aulay Duration and provides a more
n response to interest rate movements.

dified Duration:

asure of a bond's price sensitivity to changes in yield (interest rates).

ond's price for a 1% change in yield, assuming all other factors remain const

o calculate Modified Duration is derived from the Macaulay Duration formul

 as a decimal).

vides an estimate of the percentage change in a bond's price for a given cha
nd is 5, it implies that a 1% increase in yield would lead to an approximate 5
d to an approximate 5% increase in the bond's price.

Modified Duration addresses a key limitation of Macaulay

mate of bond price changes across different yields.
nship between bond price and yield, which doesn't hold true for large yield
price-yield relationship by incorporating the effect of compounding.

nsively used by investors,

position, hedging strategies, and risk management.
te risk in bond portfolios. It helps these professionals make informed decisio

is a valuable tool for estimating price changes due to yield fluctuations,

eld curve. In reality, yield curve changes are often not parallel,
market liquidity can influence bond prices.
ated measures like effective duration and key rate duration are used.
ation is often used in conjunction with another concept called convexity.
d price-yield relationship, providing additional refinement to the estimate of
proximation, convexity accounts for the nonlinear effects and improves the a

for assessing interest rate risk in bond investments and is

or larger changes in interest rates.
ement. It provides a more realistic estimate of bond price changes

ss one BSP)
us One BSP)

rest rate change

st rates).
ors remain constant.

Duration formula and is as follows:

 e for a given change in yield.
n approximate 5% decrease in the bond's price.

ue for large yield changes.

pounding.

informed decisions

fluctuations,

are used.
 ed convexity.
o the estimate of price changes.
nd improves the accuracy of the price change estimate.
Convexity is a concept in finance that com
(such as Macaulay Duration and Modified
bond's price will change in response to ch
Convexity takes into account the curvatur
addressing some of the limitations of dura

Here are important points to understand

1. **Definition**: Convexity is a measure

relationship between a bond's price and i

2. **Mathematical Formula**:
The formula for calculating the approxima
change in a bond's price due to a change

Convexity = (Phigh + Plow - 2*P0)/(P0*∆r*

Where:
- *C* is the convexity of the bond.
- *P0 is the bond's price.
- *P high is the bond's price after Yield is
- *P low is the bond's price is Increased
- *ΔY* is the change in yield.

3. **Interpretation**: Convexity allows fo

especially for larger changes in yields.
It captures the fact that the relationship b
but rather exhibits a curve. Positive conve
the bond's price appreciation is greater th
Conversely, as yields increase, the bond's
4. **Application**: Convexity is a crucial
By incorporating convexity into their anal
they can make more informed decisions a
are likely to change in response to interes
This enables better risk management and

5. **Limitations**:
While convexity provides a more accurate
, it still has limitations. It assumes that cha
which may not hold true in all cases.
Additionally, convexity calculations can be
especially for bonds with irregular cash flo

6. **Duration and Convexity Interaction*

used together to assess interest rate risk.
 Duration provides a linear approximation
while convexity refines this estimate by a
Combining duration and convexity helps i
react to changes in interest rates across d

7. **Managing Interest Rate Risk**: Conv

Investors can use convexity to identify bo
portfolios with favorable risk profiles, pot
impact of adverse interest rate movemen
exhibit more stable prices in response to

In summary, convexity is an important co

especially those dealing with fixed-income
. It complements duration measures by ac
relationship between bond prices and yie
leading to more accurate estimates of pr
 ce that complements duration measures
nd Modified Duration) by providing a more accurate
ponse to changes in interest rates.
he curvature of the relationship between bond pric
tions of duration measures and providing a more co

understand about convexity:

a measure of the curvature of the

price and its yield.

e approximate percentage
to a change in yield (ΔY) is:

P0)/(P0*∆r*∆r)

bond.

after Yield is decresed by 1 BSP

s Increased by one BSP

ity allows for a more accurate estimation of bond p

n yields.
lationship between bond prices and yields is not lin
sitive convexity indicates that as yields decrease,
is greater than what duration measures would sugg
the bond's price decline is less than what duration
 is a crucial tool for bond portfolio managers and in
o their analysis,
decisions about how bond prices
e to interest rate movements.
gement and hedging strategies.

ore accurate estimate of bond price changes than d

mes that changes in yield affect all maturities of the
cases.
tions can become complex,
ular cash flows or complex features.

nteraction**: Duration and convexity are often

st rate risk.
proximation of bond price changes,
timate by accounting for the curvature.
exity helps investors better understand how bond p
tes across different yield levels.

isk**: Convexity provides valuable insights for man

o identify bonds or
profiles, potentially reducing the
e movements. It also aids in selecting bonds that
esponse to interest rate changes.

mportant concept for investors,

fixed-income securities
asures by accounting for the nonlinear
ices and yields,
mates of price changes and better risk managemen
ore accurate estimate of how a

en bond prices and yields,

g a more comprehensive understanding of interest
n of bond price changes,

lds is not linear

decrease,
would suggest.
at duration measures would indicate.
gers and investors.

nges than duration measures

rities of the bond equally,

e often
how bond prices will

hts for managing interest rate risk.

onds that

management strategies.
g of interest rate risk.