Maturity Date: 04/20/2017
Settlement Date: 02/05/2016
Coupon Rate: 10%
Coupon Frequency: Semiannual
Yield-to-Maturity: 12%
Day Count Convention: 30/360 (European)
T | 360/2 | 180 | |||
t | 25+30+20 | 75 | |||
Period | Time to reciept | Cashflow | Present value | Weight | Time * Weight |
n | n - t/T | CF | CF/1.12^n | CFn/Sum(CF) | |
1 | 0.583333333 | 5 | 4.464285714 | 0.062682904 | 0.036565027 |
2 | 1.583333333 | 5 | 3.985969388 | 0.055966878 | 0.088614224 |
3 | 2.583333333 | 5 | 3.558901239 | 0.049970427 | 0.12909027 |
4 | 3.583333333 | 5 | 3.177590392 | 0.044616453 | 0.159875622 |
5 | 4.583333333 | 5 | 2.837134279 | 0.039836118 | 0.182582209 |
6 | 5.583333333 | 105 | 53.19626772 | 0.74692722 | 4.170343647 |
71.22014874 | 1 | 4.767070998 | |||
Mac Dur | (Time*Weight)/No. of coupon payments per year | 2.383535499 | |||
Mod Dur | Mac Dur/(1+coupon%/No. coupon payments per year) | 2.270033809 |
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