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Bond Duration - Dynamic Chart

This document contains a dynamic chart showing how bond duration changes over time for bonds with different maturity dates. It provides the inputs of a 5% annual coupon rate, 9% yield to maturity, and 2 payments per year. The outputs include the discount rate per period, time to maturity in years, number of periods to maturity, duration of coupon bonds, and duration of zero-coupon bonds for maturity times ranging from 1 to 30 years.

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665 views3 pages

Bond Duration - Dynamic Chart

This document contains a dynamic chart showing how bond duration changes over time for bonds with different maturity dates. It provides the inputs of a 5% annual coupon rate, 9% yield to maturity, and 2 payments per year. The outputs include the discount rate per period, time to maturity in years, number of periods to maturity, duration of coupon bonds, and duration of zero-coupon bonds for maturity times ranging from 1 to 30 years.

Uploaded by

api-3763138
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLS, PDF, TXT or read online on Scribd
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BOND DURATION Dynamic Chart Annual Percentage Rate

Inputs 30
Dynamic Chart of Bond Duration

Rate Convention: 1 = EAR, 0 = APR 0 0 25

20

Duration (Years)
Annual Coupon Rate (CR) 5.0% 10
15
Yield to Maturity (Annualized) (y) 9.0% 18
10

Number of Payments / Year (NOP) 2 2


5

Outputs
Discount Rate / Period (RATE) 4.5% 0
0 5 10 15 20 25 30
Time To Maturity (Years)
Dynamic Chart Outputs
Time to Maturity (Years) 1 2 3 4 5 6 7 8 9
Number of Periods to Maturity 2 4 6 8 10 12 14 16 18
Duration of Coupon Bond 0.99 1.92 2.81 3.65 4.43 5.16 5.84 6.47 7.06
Duration of Zero-Coupon Bond 1.00 2.00 3.00 4.00 5.00 6.00 7.00 8.00 9.00
age Rate
ration

20 25 30
Years)

10 11 12 13 14 15 16 17 18 19 20 21 22 23
20 22 24 26 28 30 32 34 36 38 40 42 44 46
7.59 8.09 8.54 8.95 9.32 9.65 9.95 10.22 10.47 10.68 10.87 11.04 11.18 11.31
10.00 11.00 12.00 13.00 14.00 15.00 16.00 17.00 18.00 19.00 20.00 21.00 22.00 23.00
24 25 26 27 28 29 30
48 50 52 54 56 58 60
11.42 11.52 11.60 11.67 11.73 11.78 11.82
24.00 25.00 26.00 27.00 28.00 29.00 30.00

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