Bond Convexity - Dynamic Chart
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BOND CONVEXITY
Dynamic Chart
Annual Percentage Rate Dynamic Chart of Bond Convexity
Inputs
1000 900
Rate Convention: 1 = EAR, 0 = APR
0
0
5.0%
10
800
Yield to Maturity (Annualized) (y)
9.0%
18
Convexity
700
Annual Coupon Rate (CR)
600 500 400 300
Number of Payments / Year (NOP)
2
2
200 100
Outputs Discount Rate / Period (RATE) Dynamic Chart Outputs Time to Maturity (Years) Number of Periods to Maturity Convexity of Coupon Bond Convexity of Zero-Coupon Bond
0
4.5%
1 2 1.80 1.83
0
5
10
15
20
25
Time To Maturity (Years)
2 4 5.23 5.49
3 6 10.10 10.99
4 8 16.23 18.31
5 10 23.43 27.47
6 12 31.53 38.46
7 14 40.37 51.28
8 16 49.78 65.93
9 18 59.62 82.42
30
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
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
Dynamic Chart
Annual Percentage Rate Dynamic Chart of Bond Convexity
Inputs
1000 900
Rate Convention: 1 = EAR, 0 = APR
0
0
5.0%
10
800
Yield to Maturity (Annualized) (y)
9.0%
18
Convexity
700
Annual Coupon Rate (CR)
600 500 400 300
Number of Payments / Year (NOP)
2
2
200 100
Outputs Discount Rate / Period (RATE) Dynamic Chart Outputs Time to Maturity (Years) Number of Periods to Maturity Convexity of Coupon Bond Convexity of Zero-Coupon Bond
0
4.5%
1 2 1.80 1.83
0
5
10
15
20
25
Time To Maturity (Years)
2 4 5.23 5.49
3 6 10.10 10.99
4 8 16.23 18.31
5 10 23.43 27.47
6 12 31.53 38.46
7 14 40.37 51.28
8 16 49.78 65.93
9 18 59.62 82.42
30
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
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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