Ch_02_Bond_Duration
BOND DURATION Inputs Rate Convention Annual Coupon Rate (CR) Yield to Maturity (Annualized) Number of Payments / Year (NOP) Number of Periods to Maturity (T) Face Value Outputs Discount Rate / Period (r) Coupon Payment Bond Duration using a Timeline Period Time (Years) Cash Flows Present Value of Cash Flow Weight Weight * Time Duration Modified Duration Bond Duration using the Formula Duration (D) Modified Duration
Basics EAR APR
Annual Percentage Rate 2
4.625% 3.94% 2 8 $1,000.00
0 0.0
1 0.5
2 1.0
3 1.5
4 2.0
5 2.5
6 3.0
7 3.5
8 4.0
Total
Bond Duration using the Function (under APR) Duration Modified Duration
D
1 r T CR / NOP r 1 r r NOP CR 1 r T 1 r NOP
