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1000 6,50% 7,00% Par Value Coupon YTM Calculate the duration and convexity for the following annual bond. Settlement Date Maturity Date 01/01/2000 01/01/2015 Annual

1000 6,50% 7,00% Par Value Coupon YTM Calculate the duration and convexity for the following annual bond. Settlement Date Maturity Date 01/01/2000 01/01/2015 Annual Coupon 6,500% Maturity 15 Yield to Maurity 7,000% Bond Price $954,46 Par value 1000 Coupon per year 1 Time (t) 1 CF DCF TXDCF t+t^2 (t + t^2) x DCF 2 3 Macaulay Duration Modified Duration 4 5 6 7 8 9 10 11 12 13 14 15 Duration Convexity:

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