INV2601: Assignment 2
Due: 16 April 2025
, A B C D E F G H K L M
1 Effective Duration Convexity of Bond
2 Term Coupon% Basis Yield to M Term Pcriod Basis Yicld to
Period Coupon%
points points M
3 1 1,00% 1 6 1,00% 8,50%
6
4 Details VO Details
5 FV R100,00 FV R100,00 R100,00
R100.005
R100,00
6 DMT 6 PMT 6 5
7 N 5 N 6
8 I/YR 1/YR 1,75%
9 PV R106,3957
10
11 D= C=
12
13
14 Duration E Total Etfect of Eond
15 %PD=
15 Decrease
17
13 Total Cffect--
1)
LuoIsan0
1- P(t-1)
R111,89
20 T+
R106,40
Due: 16 April 2025
, A B C D E F G H K L M
1 Effective Duration Convexity of Bond
2 Term Coupon% Basis Yield to M Term Pcriod Basis Yicld to
Period Coupon%
points points M
3 1 1,00% 1 6 1,00% 8,50%
6
4 Details VO Details
5 FV R100,00 FV R100,00 R100,00
R100.005
R100,00
6 DMT 6 PMT 6 5
7 N 5 N 6
8 I/YR 1/YR 1,75%
9 PV R106,3957
10
11 D= C=
12
13
14 Duration E Total Etfect of Eond
15 %PD=
15 Decrease
17
13 Total Cffect--
1)
LuoIsan0
1- P(t-1)
R111,89
20 T+
R106,40