Table of Content

Bond Price Duration and Convexity Exercise Strictly Confidential

Notes
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Bond Price, Duration, and Convexity Exercise

Inputs Periods (t) Coupon Cash Flow Face Value Total Cash Flow

Face Value
Number of Years to Maturity
Coupon Payment Frequency (f)
Coupon Rate (r)
Yield-To-Maturity (Y)
Change in Yield
Number of Periods (n)
Discount Rate Per Period

Outputs

Bond Price $0.00

Macaulay Duration 0.000 Years
Modified Duration 0.000
Risk 0.000
DV01 0.0000
Convexity 0.0000

Duration Effect 0.00%

Convexity Adjustment 0.0000%
Change in Price ($) $ -
Discount Factor PV t*PV t*PV/f*Price t^2+t PV*(t^2+t) (PV*(t^2+t)/(f^2*Price)