8/18/2019 Duration and Conveixty New

1/8

10% RBI Bond 2016 coupon annually In Feb

Yld=10% Yld=11% Yld=9%

T cash fl Discount PV of cash Discount PV of cash Discount

1 10 0.909091 9.090909 0.900901 9.009009 0.917431

2 10 0.826446 8.264463 0.811622 8.116224 0.84168

3 10 0.751315 7.513148 0.731191 7.311914 0.772183

4 10 0.683013 6.830135 0.658731 6.58731 0.708425

5 110 0.620921 68.30135 0.593451 65.27965 0.649931

100 96.3041

8/18/2019 Duration and Conveixty New

2/8

PV of cash

9.174312

8.4168

7.721835

7.084252

71.49245

103.8897

8/18/2019 Duration and Conveixty New

3/8

10% RBI Bond 2016 coupon annually In Feb

T a!" Flo# $!coun& '( on)e*&y '(T

0.900901 n+n,1- '(+n-+n,1-

1 10 0.900901 9.009009 2 18.01802 9.009009

2 10 0.811622 8.116224 6 48.69735 16.23245

3 10 0.731191 7.311914 12 87.74297 21.93574

4 10 0.658731 6.58731 20 131.7462 26.34924

5 110 0.593451 65.27965 30 1958.389 326.3982

96.3041 2244.594 399.9247

23.30735 0

on)e*&y 19.26228 0

$ua&on 4.152727

/od $ua& 3.775207

on)e*&y u o +,1- '( ca!" Fl '( &o&al ca!

on)e*&y

Full (alua&on cenao 1 Ra&e ncea!e! by 1% 0

 ! pe $ua&on ec& 3.775207

 ! pe con)e*&y ec& 0.096311

3.678895

Full (alua&on cenao 1 Ra&e decea!e! by 1% 7.585548

 ! pe $ua&on ec& 3.775207

 ! pe con)e*&y ec& 0.0963113.871518

8/18/2019 Duration and Conveixty New

4/8

8/18/2019 Duration and Conveixty New

5/8

 

3.790787

0.096842

3.693945

0

3.790787

0.0968423.887628

8/18/2019 Duration and Conveixty New

6/8

8/18/2019 Duration and Conveixty New

7/8

coupon payen& da&e! u; < Feb 24

'(= $!F

11%

0.947867 0.956938

0.947867 4.739336 0.956938 4.784689

0.898452 4.492262 0.91573 4.57865

0.851614 4.258068 0.876297 4.381483

0.807217 4.036084 0.838561 4.192807

0.765134 3.825672 0.802451 4.012255

0.725246 3.626229 0.767896 3.839479

0.687437 3.437184 0.734828 3.674142

0.651599 3.257994 0.703185 3.515926

0.617629 3.088146 0.672904 3.364522

0.585431 2.927153 0.643928 3.219638

0.554911 2.774553 0.616199 3.080994

0.525982 2.629908 0.589664 2.948319

0.498561 2.492803 0.564272 2.8213580.472569 2.362847 0.539973 2.699864

0.447933 2.239665 0.51672 2.583602

0.424581 2.122905 0.494469 2.472347

0.402447 2.012233 0.473176 2.365882

0.381466 1.90733 0.4528 2.264002 232.9963

0.361579 1.807895 0.433302 2.166509 58.24908

0.342729 35.98654 0.414643 43.5375 1.1025

94.02481 106.504 52.83363 0.5 100 0.0001

on)e*&y 0 0 0

12con)' "an;e n&2

+- +,-

lua&on 5.975191 6.503968

n 6.231105

&y 0.264168

5.966937

lua&on 6.503968

n 6.231105

&y 0.264168

6.495273

8/18/2019 Duration and Conveixty New

8/8

0.264168