excel：财政金融建模problems .xls

Exercise 8 (中文) Exercise 8 Exercise 7 (中文) Modified Dduration Exercise 7 Exercise 6 (中文) Exercise 6 Exercise 5 (中文) Exercise 5 Exercise 4 (中文) Exercise 4 Exercise 3 (中文) Exercise 3 Exercise 2 (中文) Exercise 2 Exercise 1 (中文) Exercise 1 alpha dduration gamma lambda marker marker r_ r_infinity sigma T graph title YTM Effect of Maturity on Duration Reminder: Duration(settlement, maturity, coupon, yield, frequency, basis) Data table: Coupon and duration Effect of Coupon on Duration: Effect of Maturity on Duration: Duration of consol This is the limit as maturity - infinity In general we think that the longer the maturity of a bond, the more risky it is. As can be seen from the previous example, this does not always mean that the duration of the longer bond is greater than that of a shorter bond. The duration of a pure discount bond is its maturity. This can be directly established from the basic duration formula: paid March 1 and October 1 adjusted date payment Coupon rate Yield to maturity Time to first payment Duration My thanks to Beni Czaczkes for helping me on this! Raising the coupon lowers the duration. Raising the maturity of the bond does not always raise the duration, as you can see in the above example. Current date Maturity, in years Maturity date Coupon Face value Data table on maturity See Chapter 20.xls Bond price -- =XIRR(D13:D27,B13:B27) Measured in whole years Measured in half years Number of payments Function dduration(numberPayments, couponRate, YTM, Optional timeToFirstPayment) If VarType(timeToFirstPayment) = vbError Or VarType(timeToFirstPayment) = vbEmpty Then timeToFirstPayment = 1 price = 1 / (1 + YTM) ^ numberPayments dduration = numberPayments / (1 + YTM) ^ numberPayments For Index = 1 To numberPayments price = couponRate / (1 + YTM) ^ Index + price Next Index dduration = couponRate * Index / (1 + YTM) ^ Index + dduration dduration = dduration / price + timeToFirstPayment - 1