ISIN Name Rating Term FV Current Price Issue Date

US912828VS66 US Treasury 2023 Aaa 10 Year 100 106.02 8/15/2013

US912810EW46 US Treasury 2026 Aaa 20 Year 100 136.81 2/15/1996
US912810ES34 US Treasury 2024 Aaa 30 Year 100 144.8 8/15/1994
US912810FE39 US Treasury 2028 Aaa 30 Year 100 138.38 8/15/1998
US912810FB99 US Treasury 2027 Aaa 20 Year 100 143.06 11/15/1997
US912810EY02 US Treasury 2026 Aaa 30 Year 100 143.74 11/15/1996
US912828G385 US Treasury 2024 Aaa 10 Year 100 104.31 11/15/2014
US912828R366 US Treasury 2026 Aaa 10 Year 100 89.74 5/15/2016
US912828XB14 US Treasury 2025 Aaa 10 Year 100 103.23 5/15/2015
US9128284V99 US Treasury 2028 Aaa 10 Year 100 97.27 8/15/2018
US912828K742 US Treasury 2025 Aaa 10 Year 100 102.14 8/15/2015
US9128283W81 US Treasury 2028 Aaa 10 Year 100 96.44 2/15/2018
US912810EQ77 US Treasury 2023 Aaa 30 Year 100 130.59 8/15/1993
US912810EV62 US Treasury 2025 Aaa 30 Year 100 142.85 8/15/1995
US912828D564 US Treasury 2024 Aaa 10 Year 100 105.3 8/15/2014

Settlement Date
10/22/2018
Coupon Start Yield Coupon Rate Coupon Value Next Coupon Prev Coupon Maturity
2/15/2014 3.05% 2.500% 2.50 2/15/2019 8/15/2018 8/15/2023
8/15/1996 3.12% 6.000% 6.00 2/15/2019 8/15/2018 2/15/2026
2/15/1995 3.09% 7.500% 7.50 11/15/2018 5/15/2018 11/15/2024
2/15/1999 3.19% 5.500% 5.50 2/15/2019 8/15/2018 8/15/2028
5/15/1998 3.17% 6.125% 6.13 11/15/2018 5/15/2018 11/15/2027
5/15/1997 3.13% 6.500% 6.50 11/15/2018 5/15/2018 11/15/2026
5/15/2015 3.11% 2.250% 2.25 11/15/2018 5/15/2018 11/15/2024
11/15/2016 3.15% 1.625% 1.63 11/15/2018 5/15/2018 5/15/2026
11/15/2015 3.12% 2.125% 2.13 11/15/2018 5/15/2018 5/15/2025
2/15/2019 3.19% 2.875% 2.88 2/15/2019 8/15/2018 8/15/2028
2/15/2016 3.13% 2.000% 2.00 2/15/2019 8/15/2018 8/15/2025
8/15/2018 3.19% 2.750% 2.75 2/15/2019 8/15/2018 2/15/2028
2/15/1994 3.02% 6.250% 6.25 2/15/2019 8/15/2018 8/15/2023
2/15/1996 3.11% 6.875% 6.88 2/15/2019 8/15/2018 8/15/2025
2/15/2015 3.10% 2.375% 2.38 2/15/2019 8/15/2018 8/15/2024
Coupons Lef Final Coupon Duration AI MD Conv. C.Yield YTM
10 8/14/2023 4.46 Err:504 4.43 23.78743 2.358% 1.254%
15 2/14/2026 5.71 Err:504 5.68 42.3358 4.386% 0.911%
13 11/14/2024 4.87 Err:504 4.86 31.54622 5.180% 0.489%
20 8/14/2028 8.04 Err:504 7.98 75.51936 3.975% 1.378%
19 11/14/2027 6.98 Err:504 6.93 63.54802 4.281% 1.294%
17 11/14/2026 6.29 Err:504 6.25 51.76771 4.522% 1.097%
13 11/14/2024 5.74 Err:504 5.70 38.79521 2.157% 1.550%
16 5/14/2026 8.05 Err:504 7.93 65.68422 1.811% 3.082%
14 5/14/2025 6.18 Err:504 6.13 44.6998 2.059% 1.635%
20 8/14/2028 9.33 Err:504 9.18 92.46396 2.956% 3.196%
14 8/14/2025 6.22 Err:504 6.16 45.02868 1.958% 1.675%
19 2/14/2028 8.93 Err:504 8.79 84.65924 2.852% 3.187%
10 8/14/2023 3.99 Err:504 3.98 20.72899 4.786% 0.113%
14 8/14/2025 5.24 Err:504 5.22 36.32742 4.813% 0.612%
12 8/14/2024 5.31 Err:504 5.27 33.31912 2.255% 1.450%
YTM/6Month
0.627%
0.456%
0.245%
0.689%
0.647%
0.548%
0.775%
1.541%
0.817%
1.598%
0.837%
1.594%
0.056%
0.306%
0.725%
Coupon 2.50% FV 100 Bond Price 106.02
Freq 2 YTM 1.25% Convexity 23.78743
Macaulay D 4.46 Modified D 4.43

Period CF PV of CF Duration Convexity

1 1.25 1.234567901 1.2345679 2.438
2 1.25 1.219326322 2.4386526 7.225
3 1.25 1.204272911 3.6128187 14.272
4 1.25 1.189405344 4.7576214 23.493
5 1.25 1.174721327 5.8736066 34.804
6 1.25 1.160218595 6.9613116 48.124
7 1.25 1.145894909 8.0212644 63.373
8 1.25 1.131748058 9.0539845 80.473
9 1.25 1.11777586 10.059983 99.350
10 101.25 89.42206877 894.22069 9714.221
SUM 946.234 10087.772

Coupon 6.00% FV 100 Bond Price 136.81

Freq 2 YTM 0.91% Convexity 42.3358
Macaulay D 5.71 Modified D 5.68

Period CF PV of CF Duration Convexity

1 3 2.962962963 2.962963 5.852
2 3 2.926383173 5.8527663 17.340
3 3 2.890254986 8.670765 34.252
4 3 2.854572826 11.418291 56.382
5 3 2.819331186 14.096656 83.529
6 3 2.784524628 16.707148 115.497
7 3 2.750147781 19.251034 152.095
8 3 2.716195339 21.729563 193.136
9 3 2.682662063 24.143959 238.440
10 3 2.649542778 26.495428 287.829
11 3 2.616832374 28.785156 341.130
12 3 2.584525801 31.01431 398.177
13 3 2.552618075 33.184035 458.805
14 3 2.521104272 35.29546 522.854
15 103 85.48929712 1282.3395 20262.525
SUM 1561.947 23167.844

Coupon 7.50% FV 100 Bond Price 144.8

Freq 2 YTM 0.49% Convexity 31.54622
Macaulay D 4.87 Modified D 4.86
Period CF PV of CF Duration Convexity
1 3.75 3.703703704 3.7037037 7.315
2 3.75 3.657978967 7.3159579 21.675
3 3.75 3.612818732 10.838456 42.815
4 3.75 3.568216032 14.272864 70.478
5 3.75 3.524163982 17.62082 104.411
6 3.75 3.480655785 20.883935 144.371
7 3.75 3.437684726 24.063793 190.119
8 3.75 3.395244174 27.161953 241.420
9 3.75 3.353327579 30.179948 298.050
10 3.75 3.311928473 33.119285 359.786
11 3.75 3.271040467 35.981445 426.413
12 3.75 3.230657252 38.767887 497.721
13 103.75 88.27804177 1147.6145 15866.994
SUM 1411.525 18271.569

Coupon 5.50% FV 100 Bond Price 138.38

Freq 2 YTM 1.38% Convexity 75.51936
Macaulay D 8.04 Modified D 7.98

Period CF PV of CF Duration Convexity

1 2.75 2.716049383 2.7160494 5.365
2 3.75 3.657978967 7.3159579 21.675
3 3.75 3.612818732 10.838456 42.815
4 3.75 3.568216032 14.272864 70.478
5 3.75 3.524163982 17.62082 104.411
6 3.75 3.480655785 20.883935 144.371
7 3.75 3.437684726 24.063793 190.119
8 3.75 3.395244174 27.161953 241.420
9 3.75 3.353327579 30.179948 298.050
10 3.75 3.311928473 33.119285 359.786
11 3.75 3.271040467 35.981445 426.413
12 3.75 3.230657252 38.767887 497.721
13 3.75 3.190772594 41.480044 573.506
14 3.75 3.15138034 44.119325 653.568
15 3.75 3.11247441 46.687116 737.713
16 3.75 3.0740488 49.184781 825.753
17 3.75 3.03609758 51.613659 917.503
18 3.75 2.998614894 53.975068 1012.785
19 3.75 2.961594957 56.270304 1111.424
20 103.75 80.92588689 1618.5177 33566.598
SUM 2224.770 41801.476
Coupon 6.13% FV 100 Bond Price 143.06
Freq 2 YTM 1.29% Convexity 63.54802
Macaulay D 6.98 Modified D 6.93

Period CF PV of CF Duration Convexity

1 3.0625 3.024691358 3.0246914 5.974
2 3.0625 2.987349489 5.974699 17.701
3 3.0625 2.950468632 8.8514059 34.966
4 3.0625 2.914043093 11.656172 57.557
5 3.0625 2.878067252 14.390336 85.269
6 3.0625 2.842535558 17.055213 117.903
7 3.0625 2.807442526 19.652098 155.264
8 3.0625 2.772782742 22.182262 197.160
9 3.0625 2.738550856 24.646958 243.407
10 3.0625 2.704741586 27.047416 293.825
11 3.0625 2.671349715 29.384847 348.237
12 3.0625 2.638370089 31.660441 406.472
13 3.0625 2.605797619 33.875369 468.363
14 3.0625 2.573627278 36.030782 533.747
15 3.0625 2.541854101 38.127812 602.466
16 3.0625 2.510473187 40.167571 674.365
17 3.0625 2.47947969 42.151155 749.295
18 3.0625 2.44886883 44.079639 827.108
19 103.0625 81.3945014 1546.4955 30545.640
SUM 1996.454 36364.720

Coupon 6.50% FV 100 Bond Price 143.74

Freq 2 YTM 1.10% Convexity 51.76771
Macaulay D 6.29 Modified D 6.25

Period CF PV of CF Duration Convexity

1 3.25 3.209876543 3.2098765 6.340
2 3.25 3.170248438 6.3404969 18.785
3 3.25 3.131109568 9.3933287 37.107
4 3.25 3.092453894 12.369816 61.081
5 3.25 3.054275451 15.271377 90.490
6 3.25 3.016568347 18.09941 125.122
7 3.25 2.979326762 20.855287 164.769
8 3.25 2.942544951 23.54036 209.231
9 3.25 2.906217235 26.155955 258.310
10 3.25 2.87033801 28.70338 311.814
11 3.25 2.834901738 31.183919 369.558
12 3.25 2.799902951 33.598835 431.358
13 3.25 2.765336248 35.949371 497.038
 14 3.25 2.731196295 38.236748 566.425
15 3.25 2.697477822 40.462167 639.352
16 3.25 2.664175626 42.62681 715.653
17 103.25 83.5938867 1421.0961 25261.929
SUM 1807.093 29764.363

Coupon 2.25% FV 100 Bond Price 104.31

Freq 2 YTM 1.55% Convexity 38.79521
Macaulay D 5.74 Modified D 5.70

Period CF PV of CF Duration Convexity

1 1.125 1.111111111 1.1111111 2.195
2 1.125 1.09739369 2.1947874 6.503
3 1.125 1.08384562 3.2515369 12.845
4 1.125 1.07046481 4.2818592 21.143
5 1.125 1.057249195 5.286246 31.323
6 1.125 1.044196735 6.2651804 43.311
7 1.125 1.031305418 7.2191379 57.036
8 1.125 1.018573252 8.148586 72.426
9 1.125 1.005998274 9.0539845 89.415
10 1.125 0.993578542 9.9357854 107.936
11 1.125 0.98131214 10.794434 127.924
12 1.125 0.969197175 11.630366 149.316
13 101.125 86.04450096 1118.5785 15465.540
SUM 1197.752 16186.912

Coupon 1.63% FV 100 Bond Price 89.74

Freq 2 YTM 3.08% Convexity 65.68422
Macaulay D 8.05 Modified D 7.93

Period CF PV of CF Duration Convexity

1 0.8125 0.802469136 0.8024691 1.585
2 1.125 1.09739369 2.1947874 6.503
3 1.125 1.08384562 3.2515369 12.845
4 1.125 1.07046481 4.2818592 21.143
5 1.125 1.057249195 5.286246 31.323
6 1.125 1.044196735 6.2651804 43.311
7 1.125 1.031305418 7.2191379 57.036
8 1.125 1.018573252 8.148586 72.426
9 1.125 1.005998274 9.0539845 89.415
10 1.125 0.993578542 9.9357854 107.936
11 1.125 0.98131214 10.794434 127.924
12 1.125 0.969197175 11.630366 149.316
 13 1.125 0.957231778 12.444013 172.052
14 1.125 0.945414102 13.235797 196.070
15 1.125 0.933742323 14.006135 221.314
16 101.125 82.8968493 1326.3496 22267.810
SUM 1444.900 23578.009

Coupon 2.13% FV 100 Bond Price 103.23

Freq 2 YTM 1.63% Convexity 44.6998
Macaulay D 6.18 Modified D 6.13

Period CF PV of CF Duration Convexity

1 1.0625 1.049382716 1.0493827 2.073
2 1.0625 1.036427374 2.0728547 6.141
3 1.0625 1.023631974 3.0708959 12.131
4 1.0625 1.010994542 4.0439782 19.969
5 1.0625 0.998513128 4.9925656 29.583
6 1.0625 0.986185806 5.9171148 40.905
7 1.0625 0.974010672 6.8180747 53.867
8 1.0625 0.961985849 7.6958868 68.402
9 1.0625 0.950109481 8.5509853 84.447
10 1.0625 0.938379734 9.3837973 101.939
11 1.0625 0.926794799 10.194743 120.817
12 1.0625 0.915352888 10.984235 141.021
13 1.0625 0.904052235 11.752679 162.493
14 101.0625 84.92970016 1189.0158 17613.654
SUM 1275.543 18457.443

Coupon 2.88% FV 100 Bond Price 97.27

Freq 2 YTM 3.20% Convexity 92.46396
Macaulay D 9.33 Modified D 9.18

Period CF PV of CF Duration Convexity

1 1.4375 1.419753086 1.4197531 2.804
2 1.4375 1.402225271 2.8044505 8.309
3 1.4375 1.384913847 4.1547415 16.412
4 1.4375 1.367816146 5.4712646 27.016
5 1.4375 1.350929527 6.7546476 40.024
6 1.4375 1.334251384 8.0055083 55.342
7 1.4375 1.317779145 9.224454 72.879
8 1.4375 1.301510267 10.412082 92.545
9 1.4375 1.285442239 11.56898 114.252
10 1.4375 1.269572581 12.695726 137.918
11 1.4375 1.253898846 13.792887 163.458
 12 1.4375 1.238418613 14.861023 190.793
13 1.4375 1.223129494 15.900683 219.844
14 1.4375 1.20802913 16.912408 250.534
15 1.4375 1.19311519 17.896728 282.790
16 1.4375 1.178385373 18.854166 316.539
17 1.4375 1.163837406 19.785236 351.710
18 1.4375 1.149469043 20.690443 388.234
19 1.4375 1.135278067 21.570283 426.046
20 101.4375 79.12211712 1582.4423 32818.427
SUM 1815.218 35975.878

Coupon 2.00% FV 100 Bond Price 102.14

Freq 2 YTM 1.67% Convexity 45.02868
Macaulay D 6.22 Modified D 6.16

Period CF PV of CF Duration Convexity

1 1 0.987654321 0.9876543 1.951
2 1 0.975461058 1.9509221 5.780
3 1 0.963418329 2.890255 11.417
4 1 0.951524275 3.8060971 18.794
5 1 0.939777062 4.6988853 27.843
6 1 0.928174876 5.5690493 38.499
7 1 0.916715927 6.4170115 50.698
8 1 0.905398446 7.2431876 64.379
9 1 0.894220688 8.0479862 79.480
10 1 0.883180926 8.8318093 95.943
11 1 0.872277458 9.595052 113.710
12 1 0.8615086 10.338103 132.726
13 1 0.850872692 11.061345 152.935
14 101 84.87717716 1188.2805 17602.761
SUM 1269.718 18396.916

Coupon 2.75% FV 100 Bond Price 96.44

Freq 2 YTM 3.19% Convexity 84.65924
Macaulay D 8.93 Modified D 8.79

Period CF PV of CF Duration Convexity

1 1.375 1.358024691 1.3580247 2.682
2 1.375 1.341258954 2.6825179 7.948
3 1.375 1.324700202 3.9741006 15.699
4 1.375 1.308345878 5.2333835 25.842
5 1.375 1.29219346 6.4609673 38.284
6 1.375 1.276240454 7.6574427 52.936
 7 1.375 1.260484399 8.8233908 69.710
8 1.375 1.244922864 9.9593829 88.521
9 1.375 1.229553446 11.065981 109.285
10 1.375 1.214373773 12.143738 131.922
11 1.375 1.199381505 13.193197 156.351
12 1.375 1.184574326 14.214892 182.498
13 1.375 1.169949951 15.209349 210.285
14 1.375 1.155506125 16.177086 239.642
15 1.375 1.141240617 17.118609 270.495
16 1.375 1.127151227 18.03442 302.776
17 1.375 1.113235779 18.925008 336.418
18 1.375 1.099492128 19.790858 371.355
19 101.375 80.06178367 1521.1739 30045.499
SUM 1723.196 32658.148

Coupon 6.25% FV 100 Bond Price 130.59

Freq 2 YTM 0.11% Convexity 20.72899
Macaulay D 3.99 Modified D 3.98

Period CF PV of CF Duration Convexity

1 3.125 3.086419753 3.0864198 6.096
2 3.125 3.048315806 6.0966316 18.063
3 3.125 3.010682277 9.0320468 35.679
4 3.125 2.97351336 11.894053 58.731
5 3.125 2.936803319 14.684017 87.010
6 3.125 2.900546487 17.403279 120.309
7 3.125 2.864737272 20.053161 158.432
8 3.125 2.829370145 22.634961 201.184
9 3.125 2.794439649 25.149957 248.375
10 103.125 91.07803301 910.78033 9894.114
SUM 1040.815 10827.993

Coupon 6.88% FV 100 Bond Price 142.85

Freq 2 YTM 0.61% Convexity 36.32742
Macaulay D 5.24 Modified D 5.22

Period CF PV of CF Duration Convexity

1 3.4375 3.395061728 3.3950617 6.706
2 3.4375 3.353147386 6.7062948 19.869
3 3.4375 3.311750505 9.9352515 39.247
4 3.4375 3.270864696 13.083459 64.605
5 3.4375 3.23048365 16.152418 95.710
6 3.4375 3.190601136 19.143607 132.340
 7 3.4375 3.151210999 22.058477 174.275
8 3.4375 3.112307159 24.898457 221.302
9 3.4375 3.073883614 27.664953 273.212
10 3.4375 3.035934434 30.359344 329.804
11 3.4375 2.998453762 32.982991 390.879
12 3.4375 2.961435814 35.53723 456.244
13 3.4375 2.924874878 38.023373 525.714
14 103.4375 86.92557438 1216.958 18027.580
SUM 1496.899 20757.488

Coupon 2.38% FV 100 Bond Price 105.3

Freq 2 YTM 1.45% Convexity 33.31912
Macaulay D 5.31 Modified D 5.27

Period CF PV of CF Duration Convexity

1 1.1875 1.172839506 1.1728395 2.317
2 1.1875 1.158360006 2.31672 6.864
3 1.1875 1.144059265 3.4321778 13.558
4 1.1875 1.129935077 4.5197403 22.318
5 1.1875 1.115985261 5.5799263 33.064
6 1.1875 1.102207665 6.613246 45.718
7 1.1875 1.088600163 7.6202011 60.204
8 1.1875 1.075160655 8.6012852 76.450
9 1.1875 1.061887067 9.5569836 94.382
10 1.1875 1.04877735 10.487773 113.932
11 1.1875 1.035829481 11.394124 135.031
12 101.1875 87.17390151 1046.0868 13430.174
SUM 1117.382 14034.012
11/15/2018 2/15/2019
5/15/2019 8/15/2019
11/15/2019 2/15/2020
5/15/2020 8/15/2020
11/15/2020 2/15/2021
5/15/2021 8/15/2021
11/15/2021 2/15/2022
5/15/2022 8/15/2022
11/15/2022 2/15/2023
5/15/2023 8/15/2023
11/15/2023 2/15/2024
5/15/2024 8/15/2024
11/15/2024 2/15/2025
5/15/2025 8/15/2025
11/15/2025 2/15/2026
5/15/2026 8/15/2026
11/15/2026 2/15/2027
5/15/2027 8/15/2027
11/15/2027 2/15/2028
8/15/2028
 Current Coupon Accrued Modified
Name Face Value Issue Date Maturity
Price Rate Interest Duration
US Treasury 2023 100 106.02 8/15/2013 2.500% 8/15/2023 0.465278 4.434721
US Treasury 2026 100 136.81 2/15/1996 6.000% 2/15/2026 1.116667 5.682563
US Treasury 2024 100 144.8 8/15/1994 7.500% 11/15/2024 3.270833 4.862158
US Treasury 2028 100 138.38 8/15/1998 5.500% 8/15/2028 1.023611 7.98361
US Treasury 2027 100 143.06 11/15/1997 6.125% 11/15/2027 2.671181 6.932842
US Treasury 2026 100 143.74 11/15/1996 6.500% 11/15/2026 2.834722 6.251704
US Treasury 2024 100 104.31 11/15/2014 2.250% 11/15/2024 0.98125 5.697143
US Treasury 2026 100 89.74 5/15/2016 1.625% 5/15/2026 0.708681 7.928307
US Treasury 2025 100 103.23 5/15/2015 2.125% 5/15/2025 0.926736 6.12807
US Treasury 2028 100 97.27 8/15/2018 2.875% 8/15/2028 0.535069 9.184054
US Treasury 2025 100 102.14 8/15/2015 2.000% 8/15/2025 0.372222 6.163961
US Treasury 2028 100 96.44 2/15/2018 2.750% 2/15/2028 0.511806 8.79389
US Treasury 2023 100 130.59 8/15/1993 6.250% 8/15/2023 1.163194 3.982798
US Treasury 2025 100 142.85 8/15/1995 6.875% 8/15/2025 1.279514 5.223421
US Treasury 2024 100 105.3 8/15/2014 2.375% 8/15/2024 0.442014 5.26753

Settlement Date: 22/10/2018

Accrued Interest is the amount of interest that has accrued since the previous coupon payment and will not be received by
be passed on to the buyer from the issuer of the bond. In our case as the bonds had already been issued for some time, th
have accrued between the previous coupon date and the settlement date. Modified duration is calculated as a function of
measures the number of years to recover the true cost of the bond considering the present value of all coupon payments.
divided by 1 + YTM(/2 for semi-annual) to give the modified duration- this gives us the responsiveness of bonds price to ch
measured as a percentage. If we use the top bond as an example, for every 1% change in market interest rates the market
inversely by 4.43%. With modified duration we have assumed the relationship between interest rates and bond prices is lin
changes in the interest rate, however the actual relationship tends to be more convex, as a result convexity is a better mea
between the bond price and large fluctuations in the interest rate. As convexity increases the systematic risk of the portfol
decreases the opposite is true as the exposure to market interest rates decreases. The current yield is the ratio of the coup
the bond- this measure is based on the current price of the bond rather than the face value therefore it’s a more accurate r
a bond relative to the other bonds on the market. However, it only considers the coupon income for the bond- but doesn’t
if the bond is trading at a discount or a premium you will receive a different amount at maturity, this difference in income i
current yield calculation. As a result, a more widely used return measure for a bond is the yield to maturity, this considers t
the bond is held to maturity, the coupon payments are reinvested at the same rate and the difference between the purcha
one can predict the interest rate going forward, the YTM is not 100% accurate as this takes into account the return from co
recieved from reinvesting the coupons at the current YTM and this is liable to change over time, nonetheless this gives the
when comparing one bond with another.
 Current Yield to
Convexity Yield Maturity
23.7874281 2.36% 1.25%
42.3358013 4.39% 0.91%
31.5462171 5.18% 0.49%
75.5193589 3.97% 1.38%
63.5480224 4.28% 1.29%
51.7677101 4.52% 1.10%
38.7952071 2.16% 1.55%
65.6842228 1.81% 3.08%
44.6998049 2.06% 1.63%
92.4639605 2.96% 3.20%
45.0286762 1.96% 1.67%
84.659238 2.85% 3.19%
20.7289859 4.79% 0.11%
36.3274199 4.81% 0.61%
33.3191157 2.26% 1.45%

ment and will not be received by the seller because these will
dy been issued for some time, this is the interest that would
on is calculated as a function of Macaulay Duration, this
t value of all coupon payments. This Macaulay Duration is then
ponsiveness of bonds price to changes in interest rates,
market interest rates the market value of the bond will move
terest rates and bond prices is linear- this is fine for small
a result convexity is a better measure for the relationship
the systematic risk of the portfolio increases, as convexity
rent yield is the ratio of the coupon payments to the price of
e therefore it’s a more accurate reflection of the profitability of
ncome for the bond- but doesn’t look at compound interest or
turity, this difference in income is not taken into account in the
yield to maturity, this considers the total amount of income if
e difference between the purchase price and face value. As no
s into account the return from compounding interest thats
time, nonetheless this gives the best standardized measure