Excel > Excel Stuff > Investment Related Workbooks > Duration And Convexity Calculator
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Bond Price Face Value Coupon Rate Life in Years Yield Frequency Macaulay Duration Modified Duration Convexity Period 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
$875.38 1,000 8.00% 10 10.00% 2
$820.74 If Yield Changes By 1000 Bond Price Will Change By 8% 10 Modified Duration Predicts 11% Convexity Adjustment 2 Total Predicted Change
6.84 6.51 56.49 Cash Flow PV Cash Flow ($875.38) 40.00 38.10 40.00 36.28 40.00 34.55 40.00 32.91 40.00 31.34 40.00 29.85 40.00 28.43 40.00 27.07 40.00 25.78 40.00 24.56 40.00 23.39 40.00 22.27 40.00 21.21 40.00 20.20 40.00 19.24 40.00 18.32 40.00 17.45 40.00 16.62 40.00 15.83 1,040.00 391.97
Actual New Price Predicted New Price Difference Duration Calc 38.10 72.56 103.66 131.63 156.71 179.09 198.99 216.59 232.06 245.57 257.26 267.28 275.77 282.84 288.61 293.19 296.68 299.17 300.76 7,839.30
1.00% -54.63 -57.03 2.47 -54.56 $820.74 $820.82 $0.08
Convexity Calc 69.11 197.45 376.09 596.97 852.82 1,137.09 1,443.92 1,768.07 2,104.85 2,450.08 2,800.10 3,151.62 3,501.80 3,848.14 4,188.45 4,520.86 4,843.78 5,155.85 5,455.92 149,320.02
Total
11,975.81
197,783.01
-6.24% -6.51% 0.28% -6.23%
N
DMac = 1
i) (1 +
2
C =
N t = 1
CF (t ∑ i) (1 + t
t
VB
2
+ t
)
CFt
∑ (1 + i ) t =1
VB
t
t
$875.38 1,000 8.00% 10 10.00% 2
$820.74 If Yield Changes By 1000 Bond Price Will Change By 8% 10 Modified Duration Predicts 11% Convexity Adjustment 2 Total Predicted Change
6.84 6.51 56.49 Cash Flow PV Cash Flow ($875.38) 40.00 38.10 40.00 36.28 40.00 34.55 40.00 32.91 40.00 31.34 40.00 29.85 40.00 28.43 40.00 27.07 40.00 25.78 40.00 24.56 40.00 23.39 40.00 22.27 40.00 21.21 40.00 20.20 40.00 19.24 40.00 18.32 40.00 17.45 40.00 16.62 40.00 15.83 1,040.00 391.97
Actual New Price Predicted New Price Difference Duration Calc 38.10 72.56 103.66 131.63 156.71 179.09 198.99 216.59 232.06 245.57 257.26 267.28 275.77 282.84 288.61 293.19 296.68 299.17 300.76 7,839.30
1.00% -54.63 -57.03 2.47 -54.56 $820.74 $820.82 $0.08
Convexity Calc 69.11 197.45 376.09 596.97 852.82 1,137.09 1,443.92 1,768.07 2,104.85 2,450.08 2,800.10 3,151.62 3,501.80 3,848.14 4,188.45 4,520.86 4,843.78 5,155.85 5,455.92 149,320.02
Total
11,975.81
197,783.01
-6.24% -6.51% 0.28% -6.23%
N
DMac = 1
i) (1 +
2
C =
N t = 1
CF (t ∑ i) (1 + t
t
VB
2
+ t
)
CFt
∑ (1 + i ) t =1
VB
t
t
