Sensitivity of the Bond Price to the Interest Rate
Consider a four-year bond with the following payments. For the market interest rate 10%, the table shows the present value of each payment. Time Payment Present Value Weight Time × Weight 1 100 91 0.091 0.09 2 100 83 0.083 0.17 3 100 75 0.075 0.23 4 1100 751 0.751 3.01 Total 1000 1.000 3.49 The duration is 3.49. 8 ................
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