YTM 8%

Coupon 7%
FV 1000
n 10

t CF PV Weight Wcf*t t^2+t

1 70 $64.81 7% 0.0694767621054387 2
2 70 $60.01 6% 0.128660670565627 6
3 70 $55.57 6% 0.178695375785593 12
4 70 $51.45 6% 0.220611575043942 20
5 70 $47.64 5% 0.255337471115674 30
6 70 $44.11 5% 0.283708301239638 42
7 70 $40.84 4% 0.306475016771214 56
8 70 $37.82 4% 0.324312187059485 72
9 70 $35.02 4% 0.33782519485363 90
10 1070 $495.62 53% 5.31265371095509 110
$932.90 100%

M Duration 7.41775626549534
Modified Duration 6.868292838
E Duration $6.87
Convexity $62.63
Sum
$129.63
$360.08
$666.82
$1,029.04
$1,429.22
$1,852.70
$2,287.28
$2,722.96
$3,151.57
$54,517.87
$68,147.18

YTM PV
0,0825 ($917.06)
0.08 ($932.90)
0.0775 ($949.10)

Change in YTM 0.0025

YTM 9%
Coupon 12%
FV 1000
n 3

t CF PV Weight Wcf*t t^2+t

1 120 $110.09 10% 0.102321562368126 2
2 120 $101.00 9% 0.187745985996561 6
3 120 $92.66 9% 0.258366035775084 12
3 1000 $772.18 72% 2.1530502981257 12
$1,075.94 100%

M Duration 2.70148388226547
Modified Duration 2.478425580
E Duration $6.87
Convexity $8.76
Sum
$220.18
$606.01
$1,111.94
$9,266.20
$11,204.34

YTM PV
0,0825 ($917.06)
0.08 ($932.90)
0.0775 ($949.10)

Change in YTM 0.0025

n 4.00
YTM 8% 16%
C 6% 12%
SEMIANNUAL 8
FV 1000
t CF PV Weight Wcf*t t^2+t
1 60 $51.72 7% 0.00009115 2
2 60 $44.59 6% 0.00007857 6
3 60 $38.44 5% 0.00006774 12
4 60 $33.14 4% 0.00005839 20
4 1060 $585.43 78% 0.00103161 20
$753.32 100%

M Duration 0.00132745817681212
Modified Duration 0.000265492
E Duration 3.43
Sum
$103.45
$267.54
$461.27
$662.75
$11,708.57

PV
0.165 ($917.06)
0.16 ($932.90)
0.155 ($949.10)

Change in YTM 0.005