Question: Using the Excel template, set the term structure to be flat at 4%. On the Duration-Complete tab, set the coupon to be 3.5% Calculate and

Using the Excel template, set the term structure to be flat at 4%.

On the Duration-Complete tab, set the coupon to be 3.5%

Calculate and fill in the values for cells $B19:$D19. The 0.1% up and down moves are shifts of the whole term structure.

What's the duration for this bond in this market environment?

Using the Excel template, set the term structure to be flat

Duration T: C: F: Mar 2021n 2.375% 1000.00 Date Time T-t Coupon Face Total PV X: D: : 15-Mar-18 15-Sep-18 15-Mar-19 15-Sep-19 15-Mar-2015-Sep-20 15-Mar-21 0.00 0.50 1.00 1.50 2.00 2.50 3.00 0 2.00 1.50 1.00 0.50 0.00 -0.50 11.88 11.88 11.88 11.88 11.88 11.88 1000.00 11.88 11.88 11.88 11.88 11.88 1011.88 969.06 11.67 11.47 11.28 11.09 10.90 912.65 1.00 0.012 0.012 0.012 0.011 0.011 0.942 2.912 0.006 0.012 0.017 0.023 0.028 2.825 3: 0.00% 969.06 +0.10% 966.34 -0.2808% D: : C: c AP/P -0.10% 971.79 0.2819% 2.813 10.78 0.2819% 1,100.0 Y 1,050.0 1,000.0 950.0 0.00% 0.58% 1.17% 1.75% 2.33% 2.92% 3.50% 4.08% 4.67% 5.25% 5.83% 6.42% 7.00% 0 -3.5% -2.9% -2.3% -1.8% -1.2% -0.6% 0.0% 0.6% 1.2% 1.8% 2.3% 2.9% 3.5% 0.50 11.9 11.8 11.8 11.8 11.7 11.7 11.7 11.6 11.6 11.6 11.5 11.5 11.5 1.00 11.9 11.8 11.7 11.7 11.6 11.5 11.5 11.4 11.3 11.3 11.2 11.2 11.1 1.50 11.9 11.8 11.7 11.6 11.5 11.4 11.3 11.2 11.1 11.0 10.9 10.8 10.7 2.00 11.9 11.7 11.6 11.5 11.3 11.2 11.1 11.0 10.8 10.7 10.6 10.5 10.4 2.50 11.9 11.7 11.5 11.4 11.2 11.1 10.9 10.7 10.6 10.4 10.3 10.2 10.0 3.00 1,011.9 994.4 977.3 960.6 944.2 928.3 912.7 897.4 882.5 867.9 853.6 839.6 826.0 P 1,071.3 1,053.2 1,035.6 1,018.4 1,001.6 985.1 969.1 953.3 938.0 922.9 908.2 893.8 879.7 AP/P D D+C D+ 10.55% 1,064.5 1,070.9 8.69% 1,048.6 1,053.0 6.87% 1,032.7 1,035.5 5.09% 1,016.8 1,018.4 3.36% 1,000.9 1,001.6 1.66% 985.0 985.1 0.00% 969.1 969.1 -1.62% 953.2 953.3 -3.21% 937.3 938.0 -4.76% 921.4 922.9 -6.28% 905.4 908.3 -7.77% 889.5 894.0 -9.22% 873.6 880.0 900.0 850.0 0.0096 1.0096 2.00% 3.0096 4.0096 5.0096 6.0096 7.00% 12.0% 0.80% 0.60% 8.0% 0.40% AY -3.50% -2.92% -2.33% -1.75% - 1.17% -0.58% 0.00% 0.58% 1.17% 1.75% 2.33% 2.92% 3.50% 4.0% AP/P 10.55% 8.69% 6.87% 5.09% 3.36% 1.66% 0.00% -1.62% -3.21% -4.76% -6.28% -7.77% -9.22% D 9.85% 8.21% 6.56% 4.92% 3.28% 1.64% 0.00% -1.64% -3.28% -4.92% -6.56% -8.21% -9.85% Differences D D+C -0.70% -0.04% -0.48% -0.02% -0.30% -0.01% -0.17% 0.00% -0.07% 0.00% -0.02% 0.00% 0.00% 0.00% -0.02% 0.00% -0.07% 0.00% -0.16% 0.00% -0.28% 0.01% -0.44% 0.02% -0.62% 0.04% D+C 10.51% 8.66% 6.86% 5.09% 3.36% 1.66% 0.00% -1.62% -3.21% -4.76% -6.27% -7.75% -9.19% 0.20% 0.0% 0.00% Estimation Difference -0.20% -40% -0.40% -8.0% -0.60% A -12.0% -3.50% -0.80% 3.50% -2.50% -1.50% -0.50% 0.50% 150% 2.50% % Yield Change % Price Change A Duration Difference - Duration+Convexity Difference Duration T: C: F: Mar 2021n 2.375% 1000.00 Date Time T-t Coupon Face Total PV X: D: : 15-Mar-18 15-Sep-18 15-Mar-19 15-Sep-19 15-Mar-2015-Sep-20 15-Mar-21 0.00 0.50 1.00 1.50 2.00 2.50 3.00 0 2.00 1.50 1.00 0.50 0.00 -0.50 11.88 11.88 11.88 11.88 11.88 11.88 1000.00 11.88 11.88 11.88 11.88 11.88 1011.88 969.06 11.67 11.47 11.28 11.09 10.90 912.65 1.00 0.012 0.012 0.012 0.011 0.011 0.942 2.912 0.006 0.012 0.017 0.023 0.028 2.825 3: 0.00% 969.06 +0.10% 966.34 -0.2808% D: : C: c AP/P -0.10% 971.79 0.2819% 2.813 10.78 0.2819% 1,100.0 Y 1,050.0 1,000.0 950.0 0.00% 0.58% 1.17% 1.75% 2.33% 2.92% 3.50% 4.08% 4.67% 5.25% 5.83% 6.42% 7.00% 0 -3.5% -2.9% -2.3% -1.8% -1.2% -0.6% 0.0% 0.6% 1.2% 1.8% 2.3% 2.9% 3.5% 0.50 11.9 11.8 11.8 11.8 11.7 11.7 11.7 11.6 11.6 11.6 11.5 11.5 11.5 1.00 11.9 11.8 11.7 11.7 11.6 11.5 11.5 11.4 11.3 11.3 11.2 11.2 11.1 1.50 11.9 11.8 11.7 11.6 11.5 11.4 11.3 11.2 11.1 11.0 10.9 10.8 10.7 2.00 11.9 11.7 11.6 11.5 11.3 11.2 11.1 11.0 10.8 10.7 10.6 10.5 10.4 2.50 11.9 11.7 11.5 11.4 11.2 11.1 10.9 10.7 10.6 10.4 10.3 10.2 10.0 3.00 1,011.9 994.4 977.3 960.6 944.2 928.3 912.7 897.4 882.5 867.9 853.6 839.6 826.0 P 1,071.3 1,053.2 1,035.6 1,018.4 1,001.6 985.1 969.1 953.3 938.0 922.9 908.2 893.8 879.7 AP/P D D+C D+ 10.55% 1,064.5 1,070.9 8.69% 1,048.6 1,053.0 6.87% 1,032.7 1,035.5 5.09% 1,016.8 1,018.4 3.36% 1,000.9 1,001.6 1.66% 985.0 985.1 0.00% 969.1 969.1 -1.62% 953.2 953.3 -3.21% 937.3 938.0 -4.76% 921.4 922.9 -6.28% 905.4 908.3 -7.77% 889.5 894.0 -9.22% 873.6 880.0 900.0 850.0 0.0096 1.0096 2.00% 3.0096 4.0096 5.0096 6.0096 7.00% 12.0% 0.80% 0.60% 8.0% 0.40% AY -3.50% -2.92% -2.33% -1.75% - 1.17% -0.58% 0.00% 0.58% 1.17% 1.75% 2.33% 2.92% 3.50% 4.0% AP/P 10.55% 8.69% 6.87% 5.09% 3.36% 1.66% 0.00% -1.62% -3.21% -4.76% -6.28% -7.77% -9.22% D 9.85% 8.21% 6.56% 4.92% 3.28% 1.64% 0.00% -1.64% -3.28% -4.92% -6.56% -8.21% -9.85% Differences D D+C -0.70% -0.04% -0.48% -0.02% -0.30% -0.01% -0.17% 0.00% -0.07% 0.00% -0.02% 0.00% 0.00% 0.00% -0.02% 0.00% -0.07% 0.00% -0.16% 0.00% -0.28% 0.01% -0.44% 0.02% -0.62% 0.04% D+C 10.51% 8.66% 6.86% 5.09% 3.36% 1.66% 0.00% -1.62% -3.21% -4.76% -6.27% -7.75% -9.19% 0.20% 0.0% 0.00% Estimation Difference -0.20% -40% -0.40% -8.0% -0.60% A -12.0% -3.50% -0.80% 3.50% -2.50% -1.50% -0.50% 0.50% 150% 2.50% % Yield Change % Price Change A Duration Difference - Duration+Convexity Difference

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