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Duration Calculation Example

The document provides pricing and yield information for a bond maturing on 1/31/2019. It includes the maturity date, coupon rate, current bid and ask prices, and yield. Additional details are given on cash flows, present values, and duration calculations.

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Niyati Shah
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29 views1 page

Duration Calculation Example

The document provides pricing and yield information for a bond maturing on 1/31/2019. It includes the maturity date, coupon rate, current bid and ask prices, and yield. Additional details are given on cash flows, present values, and duration calculations.

Uploaded by

Niyati Shah
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
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Asked

Maturity Coupon Bid Asked Chg yield


1/31/2019 1 100.4766 100.4922 0.0469 0.751

Time CF PV(CF) weight(CF) t*w


2/1/2017 0
7/31/2017 1 5 4.9812952364 0.004956840174 0.004957
1/31/2018 2 5 4.9626604464 0.00493829687 0.009877
7/31/2018 3 5 4.9440953683 0.004919822935 0.014759
1/31/2019 4 1005 990.045548 0.985185040021 3.94074
PRICE 1004.933599 1

Duration 3.970333 half years


Dm 3.95548 half years

D 1.985167 years
Dm 1.97774 years

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