Bond convexity
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Yellow: Input assumptions
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Green: Est. Total Approx Change (duration & convexity)
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Par value
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$100.00
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Shocking the bond
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Up
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Down
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Shock bps
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0.50%
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-0.50%
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Coupon, %
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3.0%
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Yield @
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5.50%
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4.50%
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Coupon, $
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$3.00
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Price at new yeild
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$80.97
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$88.03
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Coupon, 6 mos, %
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1.5%
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Dollar duration
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$8.16
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$8.57
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Coupon, 6 mos, $
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$1.50
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Convexity (x2), Jorion's
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81.26
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Years to Maturity
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10
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Sensitivities
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Periods
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20
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Duration
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8.365
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Convexity
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40.63
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Yield
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5.00%
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Convexity (x2)
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81.26
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Yield, 6 mos
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2%
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Convexity Adj @ +1%
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0.41%
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Bond Price (PV)
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$84.41
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Convexity Adustment
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Yield Change
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1.00%
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Shock
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Duration Impact
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-8.37%
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Shock, bps
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50
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Convexity Adj.
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0.41%
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Shock, %
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0.50%
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Total Approx. Change
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-7.96%
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