3 3 Year US Treasury Zero $1,000.0000 I guess we need duration Par Price = P, = V Coupon Rate Frequency Coupon YTM (per period) ytm = i for Duration calc Maturity (yrs) 15.000% 1 10.000% 10.000% 5 5 n Macauley- Modified Duration-By hand 0.600% IF rates move up, Aytm AVSD-MODDUR Adjustment New Estimated Price Calculated Price error due to convexity 3 3 Year US Treasury Zero $1,000.0000 I guess we need duration Par Price = P, = V Coupon Rate Frequency Coupon YTM (per period) ytm = i for Duration calc Maturity (yrs) 15.000% 1 10.000% 10.000% 5 5 n Macauley- Modified Duration-By hand 0.600% IF rates move up, Aytm AVSD-MODDUR Adjustment New Estimated Price Calculated Price error due to convexity