Nominal Value 100 Maturity 5 YtM 0.1 Coupon 0.08 Time CF CF*(1+ytm)^(-n) t*CF(1+ytm)^(-n) t*(t+1)*CF(1+ytm)^(-n) 1 8 7.272727273 7.272727273 14.54545455 2 8 6.611570248 13.2231405 39.66942149 3 8 6.010518407 18.03155522 72.12622089 4 8 5.464107643 21.85643057 109.2821529 5 108 67.05950289 335.2975145 2011.785087 PRICE 92.41842646 395.681368 2247.408336 DURATION 4.281412086 years. M.DURATION 3.892192805 %. DOLLAR DURATION 3.597103346 ($). CX 20.09731536 "How much change the price of the bond if the interest rate will a) raise by 1 %, b) fall by 1 %?" a b Using Duration: 88.82132312 96.01552981 Using Convexity: 88.82594404 96.02015073 By hand: 88.91230895 96.11034874 ∆Price -3.592482424 3.601724267