|
|
|
|
|
|
|
|
| Chapter 14 - Duration |
| 219 |
On the timeline the duration of the 9% bond should read
2.272 not 2.273
|
| 221 |
The calculation of the Volatility on the 5 year 5% bond should read
| 93.766 - 89.885 |
= 0.0423 |
| 91.800 |
|
| 222 |
The % of investment of the five year 9% annual coupon bond in 1 year is 0.077737 not 0.0787737
The convexity of the five year 9% annual coupon bond is 24.223 not 24.233
|
| 223 |
The volatility of the 5% bond should read:
| Volatility = | - 4.523 | * 1% = - 4.227 * 1% => - 4.23% |
1.07 |
|
| 226 |
In the Table for the 5 Year 5% Annual Coupon Bond (Increase in Yield by 1%) in the final column
Estimated Price Change
- 0.041126081
- 4.113%
|
| 226 |
In the Table for the 5 Year 5% Annual Coupon Bond (Decrease in Yield by 1%) in the final column
Estimated Price Change
+ 0.043415975
+ 4.342%
|
| 227 |
In the Table for the Example the duration of the first coupon should be
0.046361 rather than 0.044648
|
| 228 |
| Modified Convexity = |
0.351 years 2 |
= 0.348 |
| ( 1 + 0.06/12 ) 2 |
|
230
14-4 |
The convexity of the five year 9% annual coupon bond is 24.223 not 24.233
|
230
14-5 |
The convexity of the five year 9% annual coupon bond is 24.223 not 24.233
|
|
|
|
|
|
|
