CALCULATE YIELD GIVEN THE PRICE

Face Value
Coupon
Frequency
Yield
Maturity
Price
Duration
Convexity

100
8%
2
8.00%
5
100.00
4.217666
18.72082

Face Value
Coupon
Frequency
Yield
Maturity
Price
Duration
Convexity

Cash Flow PVCF

0
1
2
3
4
5
6
7
8
9
10

CA

4
4
4
4
4
4
4
4
4
104
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

3.85
3.70
3.56
3.42
3.29
3.16
3.04
2.92
2.81
70.26
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

PVCF*T
3.846154
7.39645
10.66796
13.67687
16.43854
18.96755
21.2777
23.38209
25.29312
702.5867
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

T*(T+1)
2
6
12
20
30
42
56
72
90
110
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

PVCF(T(T+1))
7.692307692
22.18934911
42.67182522
68.38433528
98.63125281
132.7728403
170.2215902
210.438779
252.9312248
7728.454091
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60

CALCULATE YIELD GIVEN THE PRICE

100
8%
2
8.00%
30
100.00

Cash Flow PVCF

PVCF*T
T*(T+1)
PVCF*T*(T+1)
-100.00
4
3.85 3.846154
2 7.692307692
4
3.70 7.39645
6 22.18934911
4
3.56 10.66796
12 42.67182522
4
3.42 13.67687
20 68.38433528
4
3.29 16.43854
30 98.63125281
4
3.16 18.96755
42 132.7728403
4
3.04 21.2777
56 170.2215902
4
2.92 23.38209
72
210.438779
4
2.81 25.29312
90 252.9312248
4
2.70 27.02257
110 297.2482343
4
2.60 28.58156
132 342.9787319
4
2.50 29.98066
156 389.7485589
4
2.40 31.22985
182 437.2179347
4
2.31 32.3386
210 485.0790696
4
2.22 33.31587
240 533.0539226
4
2.14 34.17012
272 580.8920951
4
2.05 34.90938
306 628.3688529
4
1.97 35.54122
342 675.2832695
4
1.90 36.07282
380 721.4564846
4
1.83 36.51096
420 766.7300696
4
1.76 36.86202
462 810.9644967
4
1.69 37.13207
506 854.0377026
4
1.62 37.32682
552
895.843744
4
1.56 37.45166
600 936.2915384
4
1.50 37.51168
650 975.3036859
4
1.44 37.51168
702 1012.815366
4
1.39 37.45619
756 1048.773308
4
1.33 37.34948
812 1083.134827
4
1.28 37.19556
870 1115.866923
4
1.23 36.99824
930 1146.945445
4
1.19 36.76107
992 1176.354302
4
1.14 36.48742
1056 1204.084739

4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
104

1.10
1.05
1.01
0.97
0.94
0.90
0.87
0.83
0.80
0.77
0.74
0.71
0.68
0.66
0.63
0.61
0.59
0.56
0.54
0.52
0.50
0.48
0.46
0.44
0.43
0.41
0.40
9.89

36.18043
35.84308
35.47817
35.0883
34.67593
34.24339
33.79281
33.32625
32.84558
32.35259
31.84893
31.33616
30.81571
30.28895
29.75712
29.22139
28.68286
28.14252
27.60132
27.06012
26.51972
25.98085
25.44421
24.91042
24.38005
23.85362
23.33162
593.1769

1122
1190
1260
1332
1406
1482
1560
1640
1722
1806
1892
1980
2070
2162
2256
2352
2450
2550
2652
2756
2862
2970
3080
3192
3306
3422
3540
3660

1230.134649
1254.507946
1277.213972
1298.26695
1317.685473
1335.492033
1351.712584
1366.376133
1379.514365
1391.161297
1401.352955
1410.127079
1417.52285
1423.58064
1428.341779
1431.848347
1434.142975
1435.268676
1435.268676
1434.186272
1432.064694
1428.946992
1424.875918
1419.893834
1414.042623
1407.36361
1399.89749
36183.79104

QTY
FV
Coupon
Frequency
Yield
Maturity
Price
Duration
Convexity
Portfolio Yield
Portfolio Duration
Weights

200000
100
9%
1
11.34%
4
92.8

200000
100
7%
1
10.75%
7
82.2

100
11%
1
11%
4

0.411

0.125

11.05%
0.464

CALCULATE
Face Value
Coupon
Frequency
Yield
Maturity
Price
Duration
Convexity

0
1
2
3
4

CALCULATE YIELD GIVEN THE PRICE

100
11%
1
11.00%
4
100.00

Cash Flow PVCF

PVCF*T
T*(T+1)
PVCF*T*(T+1)
-100.00
11
9.91 9.90991
2 19.81982
11
8.93 17.85569
6 53.56708
11
8.04 24.12932
12 96.51726
111
73.12 292.4766
20 1462.383
0
0.00
0
0
0
0
0.00
0
0
0
0
0.00
0
0
0
0
0.00
0
0
0
0
0.00
0
0
0
0
0.00
0
0
0
0
0.00
0
0
0
0
0.00
0
0
0
0
0.00
0
0
0
0
0.00
0
0
0
0
0.00
0
0
0
0
0.00
0
0
0
0
0.00
0
0
0
0
0.00
0
0
0
0
0.00
0
0
0
0
0.00
0
0
0
0
0.00
0
0
0
0
0.00
0
0
0
0
0.00
0
0
0
0
0.00
0
0
0
0
0.00
0
0
0
0
0.00
0
0
0
0
0.00
0
0
0
0
0.00
0
0
0
0
0.00
0
0
0
0
0.00
0
0
0
0
0.00
0
0
0
0
0.00
0
0
0

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0