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What is Convexity? For the given problem above. Thank you. Mduration 7.7217349 Coupon Yield 5.00% 5.00% 9/20/20 9/20/30 C P PV DVO1 1 DF(-1) 0.952
What is Convexity? For the given problem above. Thank you.
Mduration 7.7217349 Coupon Yield 5.00% 5.00% 9/20/20 9/20/30 C P PV DVO1 1 DF(-1) 0.952 0.907 0.864 2 3 4.76% 4.54% 4.32% 4.11% 3.92% 4 0.823 5 DF 0.952 0.907 0.864 0.823 0.784 0.746 0.711 0.677 0.645 0.614 5.00% 5.00% 5.00% 5.00% 5.00% 5.00% 5.00% 5.00% 5.00% 5.00% Macaulay 0.0476 0.0907 0.1296 0.1645 0.1959 0.2239 0.2487 0.2707 0.2901 6.4461 DF(+1) 0.952 0.907 0.864 0.822 0.783 0.746 0.710 0.676 0.644 0.613 PV(+1) 0.0476 0.0453 0.0432 0.0411 0.0392 0.0373 0.0355 0.0338 0.0322 0.6440 PV(-1) Modified Duration 0.0476 -0.0454 0.0454 -0.0864 0.0432 -0.1234 0.0412 -0.1567 0.0392 -0.1866 0.0373 -0.2132 0.0356 -0.2369 0.0339 -0.2578 0.0323 -0.2763 0.6452 -6.1391 0.0095% 0.0091% 0.0086% 0.0082% 0.0078% 0.0075% 0.0071% 0.0068% 0.0064% 0.0061% 0.784 0.747 0.711 0.677 0.645 0.614 6 7 3.73% 3.55% 3.38% 3.22% 64.46% 8 9 10 100% 100.0000% 8.1078 99.92% 100.08% -7.7217 0.0772% Modified Duration ==> Macaulay/(1+r) ==> 7.7217349 Modified Duration 0.0007722 Convexitiy =Step by Step Solution
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