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CF6 7

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25 views3 pages

CF6 7

Uploaded by

pgib24purnimap
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLSX, PDF, TXT or read online on Scribd
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An Amortizing Bond

FV 1,000
NPER 4
YTM 8%
C 6%
Time C M at t 6% Cash Flow PV of Cash Flow
1
2
3
4
Total
Yield to Call
Face Value 1,000
nper 8
Coupon 6%
Rate 6.8%
Call able 5 years
Price of Bond
Rate
YTC=
Calculation of Convexity Measure & Dollar Measure
for Five year 9% Bond Selling to Yield 9%
Coupon Rate 9.00%
Term(Years) 5
Initial Yield 9.00%
Price 100
Period ,t Cash Flow 1/(1.045)t+2 t(t+1)CF t(t+1)CF/(1.045)t+2

Second Derivative =
Convexity Measure (half years)=
Convexity Measure ( years)=
Dollar Convexity Measure =

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