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Interestrisk
Interestrisk
Interestrisk
D = duration
CFt = cash flow in time period t
Y = yield to maturity (interest rate) per period
T = maturity in periods - usually semi-annual
A Shorter Way to Calculate a
Coupon Bond's Duration
(1 Y ) (1 Y ) T (c Y )
D
Y c [(1 Y ) T 1] Y
(.0425.045)
%P 20.87 x
(1.045)
= .05 = 5%
(1 Y ) (1 Y )
n o