Bond Convexity Dynamic Chart

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Bond Convexity Dynamic Chart

  1. 1. BOND CONVEXITY Dynamic Chart Annual Percentage Rate Dynamic Chart of Bond Convexity Inputs 1000 900 Rate Convention: 1 = EAR, 0 = APR 0 0 800 700 Annual Coupon Rate (CR) 5.0% 10 600 Convexity 500 Yield to Maturity (Annualized) (y) 9.0% 18 400 300 200 Number of Payments / Year (NOP) 2 2 100 Outputs 0 Discount Rate / Period (RATE) 4.5% 0 5 10 15 20 25 30 Time To Maturity (Years) Dynamic Chart Outputs Time to Maturity (Years) 1 2 3 4 5 6 7 8 9 Number of Periods to Maturity 2 4 6 8 10 12 14 16 18 Convexity of Coupon Bond 1.80 5.23 10.10 16.23 23.43 31.53 40.37 49.78 59.62 Convexity of Zero-Coupon Bond 1.83 5.49 10.99 18.31 27.47 38.46 51.28 65.93 82.42
  2. 2. age Rate onvexity 20 25 30 Years) 10 11 12 13 14 15 16 17 18 19 20 21 22 23 20 22 24 26 28 30 32 34 36 38 40 42 44 46 69.75 80.04 90.39 100.70 110.88 120.85 130.55 139.94 148.97 157.61 165.83 173.63 180.98 187.90 100.73 120.88 142.85 166.66 192.30 219.78 249.08 280.21 313.18 347.98 384.61 423.07 463.36 505.48
  3. 3. 24 25 26 27 28 29 30 48 50 52 54 56 58 60 194.37 200.42 206.03 211.24 216.05 220.47 224.53 549.44 595.22 642.84 692.29 743.57 796.69 851.63

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