Scribd
Upload
31 views2 pages

4 Year Bond Par Coupon 6% Interest 6%: Year Cash Flow PV CF

This document summarizes the cash flows and calculates the modified duration and convexity of a 4-year bond with a par value, 6% coupon rate, and 6% interest rate. It shows the bond will pay $60 per year in interest for the first 3 years and $1060 (par value) in the 4th year. It then calculates the present value of these cash flows, modified duration as 3.563107, and convexity as 15.869097.

Uploaded by

lim hy
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLSX, PDF, TXT or read online on Scribd
31 views2 pages

4 Year Bond Par Coupon 6% Interest 6%: Year Cash Flow PV CF

This document summarizes the cash flows and calculates the modified duration and convexity of a 4-year bond with a par value, 6% coupon rate, and 6% interest rate. It shows the bond will pay $60 per year in interest for the first 3 years and $1060 (par value) in the 4th year. It then calculates the present value of these cash flows, modified duration as 3.563107, and convexity as 15.869097.

Uploaded by

lim hy
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLSX, PDF, TXT or read online on Scribd
You are on page 1/ 2

4 year bond par

coupon 6%
Interest 6%
Year Cash Flow PV CF
1 2 3
1 60 0.943396
2 60 0.889996
3 60 0.839619
4 1060 0.792094
Total

Modified duration

1step Convexity 1/(1.06)^2


0.89
2 step 15869.097
3 step 15.869097
1000

3*2 PV % 1*5 t^2+t 4*7


4 5 6 7 8
56.603774 0.056604 0.056604 2 113.2075
53.399786 0.0534 0.1068 6 320.3987
50.377157 0.050377 0.151131 12 604.5259
839.61928 0.839619 3.358477 20 16792.39
1000 3.67301 17830.52

3.563107

1.1236 0.889996

You might also like