Duaration:
Year | CF | PVF@14% | Disc CF | Weight | Wt * year |
1 | $ 100.00 | 0.8772 | $ 87.72 | 0.0939 | 0.09 |
2 | $ 1,100.00 | 0.7695 | $ 846.41 | 0.9061 | 1.81 |
Duration | 1.91 |
Modified Duration:
= Duration / (1+YTM)
= 1.91 / (1+0.14)
= 1.91 / 1.14
= 1.68%
Expected Change in Price = Modified duration * YTM change
= 1.68% * 0.7
= 1.176%
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