Professional Documents
Culture Documents
For DRM Understanding
For DRM Understanding
For DRM Understanding
Actual Yield =
8.1022%
Period, t 1 2 3 4 5 6 Total
Cash flow 5.00 5.00 5.00 5.00 5.00 105.00
Present Value at
12%, DCF 4.7170 4.4500 4.1981 3.9605 3.7363 74.0209 95.0827
t/2 x DCF 2.3585 4.4500 6.2971 7.9209 9.3407 222.0626 252.4299
Value of the Bond 95.0827
Duration 2.6548
Modified Duration 2.5046
B x DB (1 + rG )
Hedge Ratio = x x Conversion Factor
G x DG (1 + rB )