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1500 1400 1300 10 yrs 7 yr 1200 - 3 yr Value of the bond 1100 1 yr 1000 - Oye 900 800 700 2 1 3 4 5 6 7 9 10 11 Rate of interest (%) Figure 1: Value of bond as a function of the rate of interest and of its maturity (coupon: 7%; maturities: 10, 7, 3, 1 and 0 year). All curves, each corresponding to a given maturity, exhibit a small convexity. The long-maturity bonds are more sensitive to change in interest rates. (Risk Management) Chanter 1 27 / 113 1500 1400 1300 10 yrs 7 yr 1200 - 3 yr Value of the bond 1100 1 yr 1000 - Oye 900 800 700 2 1 3 4 5 6 7 9 10 11 Rate of interest (%) Figure 1: Value of bond as a function of the rate of interest and of its maturity (coupon: 7%; maturities: 10, 7, 3, 1 and 0 year). All curves, each corresponding to a given maturity, exhibit a small convexity. The long-maturity bonds are more sensitive to change in interest rates. (Risk Management) Chanter 1 27 / 113