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duration

VIEWS: 3 PAGES: 2

									VN                 100
Coupons               5
Interest Rate(y)   0.12
Maturity(t)           3
Times                 2



                          Years                       0.5        1      1.5        2
                          Coupons                       5        5        5        5
                          Actualization Factor   0.941765 0.88692 0.83527 0.786628
                          Actual Cash Flows      4.708823 4.434602 4.176351 3.933139
                          Price                  94.21302
                          Duration                2.65301
                          Convexity              7.570035
     2.5        3
       5      105
0.740818 0.697676
3.704091 73.25601

								
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