duration by garrickWilliams

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									                                                       Spreadsheet 16.1


                A                  B              C           D                 E             F            G
 1                                            Time until                     PV of CF                  Column (C)
 2                                             Payment                   (Discount rate =                  x
 3                             Period           (Years)    Cash flow      5% per period)    Weight*    Column (F)
 4   A. 8% coupon bond                   1        0.5             40               38.095     0.0395       0.0197
 5                                       2        1.0             40               36.281     0.0376       0.0376
 6                                       3        1.5             40               34.554     0.0358       0.0537
 7                                       4        2.0          1040               855.611     0.8871       1.7741
 8                      Sum:                                                      964.540     1.0000       1.8852
 9
10   B. Zero-coupon bond                 1       0.5                 0             0.000      0.0000       0.0000
11                                       2       1.0                 0             0.000      0.0000       0.0000
12                                       3       1.5                 0             0.000      0.0000       0.0000
13                                       4       2.0              1000           822.702      1.0000       2.0000
14                      Sum:                                                     822.702      1.0000       2.0000
15
16   Semiannual int rate:              0.05
17
18   *Weight = Present value of each payment (Column E) divided by the bond price




                                                           Page 1
                                                                     Spreadsheet 16.2


             A              B            C              D               E                  F                G
 1                                  Time until                       PV of CF                          Column (C)
 2                                   Payment                     (Discount rate =                           x
 3                        Period      (Years)      Cash flow      5% per period)         Weight*        Column (F)
 4 A. 8% coupon bond    1          0.5           40            =D4/(1+$B$16)^B4      =E4/E$8         =F4*C4
 5                      2          1             40            =D5/(1+$B$16)^B5      =E5/E$8         =F5*C5
 6                      3          1.5           40            =D6/(1+$B$16)^B6      =E6/E$8         =F6*C6
 7                      4          2             1040          =D7/(1+$B$16)^B7      =E7/E$8         =F7*C7
 8                 Sum:                                        =SUM(E4:E7)           =SUM(F4:F7)     =SUM(G4:G7)
 9
10 B. Zero-coupon bond 1           0.5           0             =D10/(1+$B$16)^B10    =E10/E$14       =F10*C10
11                      2          1             0             =D11/(1+$B$16)^B11    =E11/E$14       =F11*C11
12                      3          1.5           0             =D12/(1+$B$16)^B12    =E12/E$14       =F12*C12
13                      4          2             1000          =D13/(1+$B$16)^B13    =E13/E$14       =F13*C13
14                 Sum:                                        =SUM(E10:E13)         =SUM(F10:F13)   =SUM(G10:G13)
15
16 Semiannual int rate: 0.05




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