1 | settlement | 4/1/2010 | |
|---|---|---|---|
2 | maturity | 3/31/2013 | |
3 | coupon | 10% | |
4 | YTM | 7% | |
5 | frequency | 1 | |
6 | basis | 0 | |
7 | Result | 2.563531688 | |
8 | Formula | =MDURATION(B1,B2,B3,B4,B5,B6) | |
9 |
1 | settlement | 4/1/2010 | ||
|---|---|---|---|---|
2 | maturity | 3/31/2020 | ||
3 | coupon | 5% | ||
4 | YTM | 10% | ||
5 | frequency | Semi-Annually | ||
6 | basis | US (NASD) 30/360 | ||
7 | Result | 7.129756146 | ||
8 | ||||
1 | Bond A | Bond B | ||
|---|---|---|---|---|
2 | Face Value | $100 | $100 | |
3 | settlement | 4/1/2000 | 4/1/2000 | |
4 | maturity | 3/31/2030 | 3/31/2030 | |
5 | Term, yrs | 30 | 30 | |
6 | coupon | 0 | 0 | |
7 | frequency | 2 | 2 | |
8 | basis | 0 | 0 | |
9 | YTM | 5% | 4.99% | |
10 | ||||
11 | ||||
12 | Bond Price | $22.73 | $22.79 | |
13 | =-PV(B9/B7,B5*B7,B6,B2) | =-PV(C9/C7,C5*C7,C6,C2) | ||
14 | DV01 | $0.066621097366447 | ||
15 | =C12-B12 | |||
16 | Duration | 29.99722222 | 29.99722222 | |
17 | =DURATION(B3,B4,B6,B9,B7,B8) | =DURATION(C3,C4,C6,C9,C7,C8) | ||
18 | Modified Duration | 29.26558266 | 29.26701031 | |
19 | =MDURATION(B3,B4,B6,B9,B7,B8) | =MDURATION(C3,C4,C6,C9,C7,C8) | ||
20 |