Sheet1

Info:
bond term pmt par rates
A 15 0 100 cash
B 10 0.0835 100 HP
C 5 100 0
D 5 0 100
E 30 0 100

Prices:
bond price
A $25.46
B $92.48
C $383.48
D $63.38
E $6.48

Durations:

Bond B 1 2 3 4 5
cash flow 8.35 8.35 8.35 8.35 8.35
PV 7.62209037 6.95763612 6.35110554104408 5.797449147 5.292057643
weight 0.082417197 0.075232493 0.06867411541516 0.062687463 0.057222695
duration 0.082417197 0.150464987 0.20602234624548 0.250749851 0.286113477

Bond C 1 2 3 4 5
cash flow 100 100 100 100 100
PV 91.2825194 83.32498348 76.0611442041207 69.43052871 63.37793584
weight 0.238039029 0.217288023 0.19834598180071 0.181055209 0.165271757
duration 0.238039029 0.434576046 0.59503794540213 0.724220837 0.826358783

bond duration
A 15
B 7.034670053
C 2.818232641
D 5
E 30

Immunization:

Bond B 7.034670053 50.00%

other 10.96532995 50.00%
sum 9

duration weight

Page 1
 Sheet1
Bond C 2.818232641 33.08%
Bond A 15 66.92%
sum 10.97

Portfolio:
bond price weight investment # of bonds
A $25.46 33.46% 30782.1753170667 1209.163519
B $92.48 50.00% 46000 497.395184
C $383.48 16.54% 15217.8246829333 39.68378874

Re-balancing:

Rates End wealth A End wealth B End wealth C Portfolio 9-yr HPR
5.0% $74.62 $195.26 $985.51 $226,460.97 10.53%
6.0% $70.50 $198.17 $984.95 $222,896.17 10.33%
7.0% $66.63 $201.28 $985.09 $219,778.57 10.16%
8.0% $63.02 $204.60 $985.93 $217,087.95 10.01%
9.0% $59.63 $208.13 $987.44 $214,806.20 9.88%
10.0% $56.45 $211.89 $989.59 $212,917.14 9.77%
11.0% $53.46 $215.88 $992.37 $211,406.37 9.69%
12.0% $50.66 $220.12 $995.76 $210,261.14 9.62%
13.0% $48.03 $224.61 $999.75 $209,470.24 9.57%
14.0% $45.56 $229.36 $1,004.32 $209,023.85 9.55%
15.0% $43.23 $234.38 $1,009.45 $208,913.49 9.54%

Page 2
 Sheet1

9.55%
92000
9

6 7 8 9 10 sum
8.35 8.35 8.35 8.35 108.35
4.830723544 4.409606156 4.025199594898 3.674303601 43.52162441 92.48179613
0.052234318 0.047680801 0.043524236806 0.03973002 0.47059666 1
0.313405908 0.33376561 0.348193894449 0.357570179 4.705966605 7.034670053

sum

383.4771116
1
2.818232641

portfolio weight

Page 3
 Sheet1

A 33.46%
B 50.00%
C 16.54%
total 100.00%

Page 4