Bond Duration Dynamic Chart

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Bond Duration Dynamic Chart

  1. 1. BOND DURATION Dynamic Chart Annual Percentage Rate Dynamic Chart of Bond Duration Inputs 30 Rate Convention: 1 = EAR, 0 = APR 0 0 25 Duration (Years) 20 Annual Coupon Rate (CR) 5.0% 10 15 Yield to Maturity (Annualized) (y) 9.0% 18 10 Number of Payments / Year (NOP) 2 2 5 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 Duration of Coupon Bond 0.99 1.92 2.81 3.65 4.43 5.16 5.84 6.47 7.06 Duration of Zero-Coupon Bond 1.00 2.00 3.00 4.00 5.00 6.00 7.00 8.00 9.00
  2. 2. age Rate Duration 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 7.59 8.09 8.54 8.95 9.32 9.65 9.95 10.22 10.47 10.68 10.87 11.04 11.18 11.31 10.00 11.00 12.00 13.00 14.00 15.00 16.00 17.00 18.00 19.00 20.00 21.00 22.00 23.00
  3. 3. 24 25 26 27 28 29 30 48 50 52 54 56 58 60 11.42 11.52 11.60 11.67 11.73 11.78 11.82 24.00 25.00 26.00 27.00 28.00 29.00 30.00

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