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Semi - annual Period | Cash Flow | Discounted Factor | PV of Cash Flow | Weight | Time Weight | Convexity = sum of t*(t+1)*w*1/(1+y)2 |
(t) | (w) | (t*w) | ||||
0.5 | 50 | 0.96 | 48.10 | 0.04 | 0.02 | 0.025418 |
1 | 50 | 0.93 | 46.25 | 0.04 | 0.04 | 0.065174 |
1.5 | 50 | 0.89 | 44.45 | 0.04 | 0.06 | 0.117446 |
2 | 50 | 0.86 | 42.75 | 0.04 | 0.07 | 0.180727 |
2.5 | 50 | 0.82 | 41.10 | 0.04 | 0.09 | 0.253387 |
3 | 50 | 0.79 | 39.50 | 0.03 | 0.10 | 0.333975 |
3.5 | 50 | 0.76 | 38.00 | 0.03 | 0.11 | 0.42164 |
4 | 50 | 0.73 | 36.54 | 0.03 | 0.12 | 0.514842 |
4.5 | 50 | 0.70 | 35.13 | 0.03 | 0.13 | 0.612616 |
5 | 50 | 0.68 | 33.78 | 0.03 | 0.14 | 0.714029 |
5.5 | 50 | 0.65 | 32.48 | 0.03 | 0.15 | 0.818139 |
6 | 50 | 0.62 | 31.23 | 0.03 | 0.16 | 0.92418 |
6.5 | 50 | 0.60 | 30.03 | 0.03 | 0.17 | 1.03149 |
7 | 50 | 0.58 | 28.88 | 0.02 | 0.17 | 1.139319 |
7.5 | 50 | 0.56 | 27.77 | 0.02 | 0.18 | 1.247134 |
8 | 50 | 0.53 | 26.70 | 0.02 | 0.18 | 1.354246 |
8.5 | 50 | 0.51 | 25.67 | 0.02 | 0.19 | 1.460507 |
9 | 50 | 0.49 | 24.68 | 0.02 | 0.19 | 1.56503 |
9.5 | 50 | 0.47 | 23.73 | 0.02 | 0.19 | 1.667807 |
10 | 50 | 0.46 | 22.82 | 0.02 | 0.19 | 1.768656 |
10.5 | 50 | 0.44 | 21.94 | 0.02 | 0.20 | 1.866633 |
11 | 50 | 0.42 | 21.10 | 0.02 | 0.20 | 1.962418 |
11.5 | 50 | 0.41 | 20.29 | 0.02 | 0.20 | 2.054556 |
12 | 50 | 0.39 | 19.51 | 0.02 | 0.20 | 2.143906 |
12.5 | 50 | 0.38 | 18.76 | 0.02 | 0.20 | 2.229954 |
13 | 50 | 0.36 | 18.04 | 0.02 | 0.20 | 2.312718 |
13.5 | 50 | 0.35 | 17.34 | 0.01 | 0.20 | 2.391586 |
14 | 50 | 0.33 | 16.68 | 0.01 | 0.20 | 2.46729 |
14.5 | 50 | 0.32 | 16.04 | 0.01 | 0.20 | 2.53924 |
15 | 1050 | 0.31 | 323.72 | 0.28 | 4.14 | 54.74055 |
1172.95 | 1.00 | 8.60 | 90.92 | |||
Modified Duration | 8.27 | |||||
Convexity | 22.73 | |||||
% change | -3.10 |
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