Bond Duration & Convexity
Bond Duration & Convexity
Duration 4.13546178664
4.13546178663775
3.69237659521228
Time Weighted PVIF
8.9286
15.9439
21.3534
25.4207
312.0848
383.7314
Find the duration of a 5 year Bond with Rs. 1000 face value and an
Current market rate of interest is 4.5%
Settlement Date 2/16/2022
Maturity Date 2/16/2027
Coupon 4%
Yield 4.50%
Redemption Value 1000
Duration 4.625
Modified Duration 4.426
% Price Change = -1 * Modified duration * Yield change
Duration 10.37
Modified Durati 9.43
Market Price of the Bon
et Price of the Bond ₹200.00
₹180.00
₹160.00
₹140.00
₹120.00
₹100.00
₹80.00
₹60.00
₹40.00
₹20.00
₹0.00
4% 6% 8% 10% 12% 14%
Weighted PVIF
rket Price of the Bond
9% 110.27365404
10% 100
11% 91.306207427
MOD
Convexity
Convexity Time^2
weighted PV
Duration cashflow
0.0909091 0.1818181818182
0.1652893 0.495867768595
0.2253944 0.9015777610819
0.2732054 1.3660269107301
0.3104607 1.8627639691775
0.3386844 2.3707905062259
0.3592107 2.873685462092
0.3732059 3.3588531375101
0.3816879 3.8168785653524
0.3855433 4.2409761837248
0.3855433 4.6265194731544
0.382357 4.9706407562816
0.3765637 5.2718917112077
0.3686638 5.5299563404277
0.3590881 5.7454091848599
0.3482066 5.919512493492
0.3363359 6.0540468683441
0.3237458 6.1511706148951
0.3106652 6.2133036514092
0.2972873 6.243032377014
0.2837742 6.243032377014 Yield
0.2702611 6.2160062628278
0.2568598 6.1646343102425 C
0.2436614 6.0915358796862 D
0.23074 5.9992398815092 C+D
0.2181542 5.8901627927545 C-D
0.2059497 5.7665929439554
0.1941614 5.6306799789464
0.1828143 5.4844285509218
1.8911823 58.626650027095
10.369606 190.30768492235
9.4269145
157.27907844822 79
-1% 1%
0.00786 0.00786
0.09427 0.09427
10.21%
-8.64%
Face Value 100 PV = FV/(1+r/n)^nt
Coupon 4%
Expected Yield 5%
Maturity 3
Coupon Payment Half Yearly
Settlement Date 2/23/2022
Maturity 2/23/2025
D_MAC 2.85
D_MOD 2.78
Weighted Average
Cash Flow Maturity
Term FV PV Weight Duration
0.5 2 1.9512195122 0.020064792072395 0.010032396
1 2 1.9036287924 0.019575406899898 0.0195754069
1.5 2 1.8571988218 0.01909795795112 0.0286469369
2 2 1.8119012896 0.018632154098653 0.0372643082
2.5 2 1.7677085752 0.018177711315759 0.0454442783
3 102 87.954280328 0.904451977662175 2.713355933
97.245937319 D_MAC 2.8543192593
D_MOD 2.7847017164
n = number of times the amount is compounding
t= time in years
Weighted Average
Maturity^2
Covexity
0.0100
0.0294
0.0573
0.0932
0.1363
9.4967
9.8229
9.3496 Convexity Yield -1%
C 0.047%
D 2.785%
C+D 2.831%
C -D
Est. @ 6% 94.5833885886
Est. @ 4% 99.99940716
1%
0.047%
2.785%
-2.738%