Calculating the actual price of the security in the Wall ...

Today. t. CF. PV(CF)# PV*t. Years. Last Coupon Date. Semi-annual periods. t is semi-annual periods # Used the 6 month rate (YTM/2) Adjusting Duration for today. Subtract last coupon from today. Excel calculation. Years (Macaulay Duration) =70/365=(3/11/98 - 12/31/97)/365. PV*t*(t+1) semi-annual periods. yearly convexity. Total Convexity ... ................
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