Duration (2)
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Yellow: Inputs
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Orange: DV01
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(n)
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(C)
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(P)
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(C+P)
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(D)
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[D x (C+P)]
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Green: Modified duration
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Blue: Macaulay duration
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Present
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Semi-
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Cash
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Dis-
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Value
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Par value
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$1,000.00
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Annual
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Prin-
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Cash
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count
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of Cash
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n x
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Years to Maturity
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10
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Period
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Coupon
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cipal
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Flow
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Factor
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Flow
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PVCF
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Coupon, %
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4.0%
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1
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$20.00
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$20.00
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0.971
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$19.42
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$19.42
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Yield
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6.00%
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2
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$20.00
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$20.00
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0.943
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$18.85
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$37.70
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3
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$20.00
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$20.00
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0.915
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$18.30
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$54.91
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Semiannual equivalents:
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4
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$20.00
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$20.00
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0.888
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$17.77
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$71.08
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Coupon, %
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2.0%
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5
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$20.00
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$20.00
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0.863
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$17.25
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$86.26
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coupon, $
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$20.00
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6
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$20.00
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$20.00
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0.837
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$16.75
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$100.50
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Periods
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20
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7
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$20.00
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$20.00
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0.813
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$16.26
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$113.83
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Semiannual Yield
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3%
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8
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$20.00
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$20.00
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0.789
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$15.79
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$126.31
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9
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$20.00
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$20.00
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0.766
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$15.33
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$137.96
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Bond Price (PV)
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$851.23
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10
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$20.00
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$20.00
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0.744
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$14.88
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$148.82
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11
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$20.00
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$20.00
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0.722
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$14.45
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$158.93
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Modified Duration
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12
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$20.00
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$20.00
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0.701
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$14.03
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$168.33
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Shock, bps
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20
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13
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$20.00
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$20.00
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0.681
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$13.62
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$177.05
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Shock, %
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0.20%
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14
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$20.00
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$20.00
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0.661
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$13.22
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$185.11
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Yield up
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6.20%
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15
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$20.00
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$20.00
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0.642
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$12.84
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$192.56
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Price (Shock up)
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$837.85
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16
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$20.00
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$20.00
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0.623
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$12.46
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$199.41
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Yield down
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5.80%
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17
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$20.00
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$20.00
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0.605
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$12.10
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$205.71
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Price (Shock down)
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$864.86
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18
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$20.00
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$20.00
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0.587
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$11.75
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$211.46
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Duration
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7.931
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19
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$20.00
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$20.00
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0.570
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$11.41
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$216.71
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20
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$20.00
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$1,000
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$1,020.00
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0.554
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$564.75
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$11,294.99
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Dollar value of an '01 (DV01)
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Shock up + 1 bps
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Sum of [n x PVCF]
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$13,907.04
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Yield
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5.99%
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k x Price
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$1,702.45
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Price
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$851.90
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Macaulay Duration
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8.17
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DV01
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$0.68
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Modified Duration
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7.93
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Shock down - 1 bps
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Yield
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6.01%
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Price
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$850.55
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DV01
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$0.67
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DV01 another way:
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(P x D)/10,000
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$0.68
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