Year 1 2 3 4 5 6

Spot 5.00% 5.50% 6.00% 6.50% 7.50% 8.00%

Yield 5.00% 5.25% 5.50% 5.75% 6.10% 6.41%

16.00%

14.00% 1-Yr Spot Rate

12.00%

10.00%

8.00%

6.00%

4.00%

2.00%

0.00%
1 2 3 4 5 6 7

100 110 120 130 150 160

1.0500 1.0550 1.0600 1.0650 1.0750 1.0800
 7 8
8.00% 8.00%

6.64% 6.81%

6 7 8

160 160
1.0800 1.0800
 Year 1 2 3 4 5 6
Yield 11.50% 9.50% 8.75% 8.00% 7.75% 7.75%

Forward 11.50% 7.54% 7.27% 5.78% 6.76% 7.75%

16.00%

14.00% Forward Rate

12.00%

10.00%

8.00%

6.00%

4.00%

2.00%

0.00%
1 2 3 4 5 6 7

230 190 175 160 155 155

1.1150 1.0950 1.0875 1.0800 1.0775 1.0775
 7 8
7.50% 7.25%

6.01% 5.52%

6 7 8

150 145
1.0750 1.0725
 Price Coupon 2000.00

1000.00 8.0%
Duration 1500.00

10.6036
1000.00

Yield Maturity
500.00
8.0% 20

0.00
0 0.05 0.1

2000.00 30 2000.00

25
1500.00 1500.00
20

1000.00 15 1000.00

10
500.00 500.00
5

0.00 0 0.00
0 0.05 0.1 0.15 0.2 0 5 10 15

Yield Maturity Coupon

80 20 80

Yield Price Duration Maturity Price Duration

### 2,600.00 14.1538461538 0 ### 0
0 2,263.19 13.7292316877 1 ### 1
0 1,981.09 13.293500661 2 ###1.925925926
0 1,743.87 12.8493280549 3 ###2.783264746
0 1,543.61 12.3995711402 4 ###3.577096987
0 1,373.87 11.9471883532 5 ###4.31212684
0 1,229.40 11.4951536699 6 ###4.992710037
0 1,105.94 11.0463717833 7 ###5.622879664
0 1,000.00 10.6035992 8 ###6.206370059
0 908.71 10.1693756603 9 ###6.746638944
0 829.73 9.7459691776 10 ###7.246887911
0 761.10 9.3353366585 11 ###7.710081399
0 701.22 8.9391006847 12 ###8.138964258
0 648.76 8.5585417835 13 ###8.536078017
0 602.61 8.194604514 14 ###8.903775942
0 561.85 7.8479150048 15 ###9.244236983
0 525.69 7.5188072265 16 ###9.559478688
0 493.50 7.2073552223 17 ###9.851369155
0 464.73 6.9134087 18 ###10.12163811
0 438.91 6.6366297278 19 ###10.37188714
0 415.65 6.3765287073 20 ###10.6035992
21 ###10.81814741
22 ###11.01680316
23 ###11.20074366
24 ###11.37105895
25 ###11.52875828
26 ###11.67477619
27 ###11.80997795
28 ###11.93516477
29 ###12.05107849
30 ###12.15840601
 30

25

20

15

10

0
0 0.05 0.1 0.15 0.2

30

25

20

15

10

0
0 5 10 15 20 25 30

Coupon Price Duration

 0 214.55 ###
0.01 312.73 ###
0.02 410.91 ###
0.03 509.09 ###
0.04 607.27 ###
0.05 705.46 ###
0.06 803.64 ###
0.07 901.82 ###
0.08 1,000.00 ###
0.09 1,098.18 ###
0.1 1,196.36 ###
0.11 1,294.54 ###
0.12 1,392.73 ###
0.13 1,490.91 ###
0.14 1,589.09 ###
0.15 1,687.27 ###
0.16 1,785.45 ###
0.17 1,883.63 ###
0.18 1,981.81 ###
0.19 2,080.00 ###
0.2 2,178.18 ###
 Price Coupon 2,000.00

1000.00 8.0% Price

Duration 1,500.00

12.1584
1,000.00

Yield Maturity
500.00
8.0% 30

0.00
0.0% 5.0% 10.0

4 30
Price % Duration
25
3
20

2 15

10
1
5

0 0
0.0% 5.0% 10.0% 15.0% 20.0% 0 0.05 0.1

Yield Maturity Coupon

80 30 80
 Y Price Duration P(Y)/P(YTM)
### 3,400.00 19.7647058824 3.4
0 2,806.54 18.7855785656 2.806539575
0 2,343.79 17.7879443462 2.343787333
0 1,980.02 16.7859447007 1.980022067
0 1,691.68 15.7936774027 1.691681332
0 1,461.17 14.8243334503 1.461173531
0 1,275.30 13.8894693714 1.275296623
0 1,124.09 12.9984942161 1.124090412
0 1,000.00 12.1584060106 1
0 897.26 11.3737679409 0.89726346
0 811.46 10.6468807305 0.811461711
0 739.19 9.9780897957 0.739186223
0 677.79 9.3661633582 0.677792641
0 625.22 8.8086865423 0.625217328
0 579.84 8.3024311215 0.579840153
0 540.38 7.8436762269 0.540381425
0 505.82 7.428468877 0.50582412
0 475.35 7.0528232118 0.475354934
0 448.32 6.7128636704 0.448319405
0 424.19 6.4049206238 0.424187579
0 402.53 6.1255880063 0.402527632

### 1,450.31 15.7936774027 1.450311334

### 1,000.00 12.1584060106 1
### 549.69 9.3661633582 0.549688666
0
Price
0

0
0.0% 5.0% 10.0% 15.0% 20.0%

Duration

0.05 0.1 0.15 0.2

 Coupon A Coupon B
Yield 6.0% 8.0%
8.0%

828.81 1,000.00

Maturity A 3000.00
15
2500.00

2000.00
Maturity B
15
1500.00

1000.00
Maturity C
15 500.00

0.00
0 0.02 0.04 0.06 0.08 0.1 0.12 0.14 0.

A B
Coupon 60 80
Maturity 15 15

Yield
80

0 1900.00 2200.00
0.01 1693.25 1970.55
0.02 1513.97 1770.96
0.03 1358.14 1596.90
0.04 1222.37 1444.74
0.05 1103.80 1311.39
0.06 1000.00 1194.24
0.07 908.92 1091.08
0.08 828.81 1000.00
0.09 758.18 919.39
0.1 695.76 847.88
0.11 640.46 784.27
0.12 591.35 727.57
0.13 547.63 676.88
0.14 508.63 631.47
0.15 473.74 590.68
0.16 442.45 553.96
0.17 414.34 520.82
0.18 389.01 490.84
0.19 366.14 463.66
0.2 345.43 438.94

8.0% 828.81 1000.00

 Coupon C
10.0%

1,171.19

0.1 0.12 0.14 0.16 0.18 0.2

C
 100
15

2500.00
2247.85
2027.94
1835.66
1667.10
1518.98
1388.49
1273.24
1171.19
1080.61
1000.00
928.09
863.78
806.13
754.31
707.63
665.47
627.31
592.67
561.17
532.45

1171.19
 Coupon A Coupon B
Yield 6.0% 8.0%
8.0%

7.62 9.24

Maturity A 30.00
10
25.00

20.00
Maturity B
15
15.00

10.00
Maturity C
30 5.00

0.00
0 0.02 0.04 0.06 0.08 0.1 0.12 0.14 0.1

A B
Coupon 60 80
Maturity 10 15

Yield
80

0 8.31 11.18
0.01 8.23 10.96
0.02 8.15 10.72
0.03 8.07 10.48
0.04 7.98 10.24
0.05 7.89 10.00
0.06 7.80 9.75
0.07 7.71 9.50
0.08 7.62 9.24
0.09 7.52 8.99
0.1 7.42 8.74
0.11 7.32 8.49
0.12 7.22 8.25
0.13 7.12 8.00
0.14 7.02 7.76
0.15 6.92 7.53
0.16 6.81 7.30
0.17 6.71 7.08
0.18 6.60 6.86
0.19 6.50 6.65
0.2 6.39 6.44

8.0% 7.62 9.24

 Coupon C
10.0%

11.80

0.1 0.12 0.14 0.16 0.18 0.2

C
 100
30

19.13
18.16
17.18
16.21
15.26
14.33
13.44
12.59
11.80
11.06
10.37
9.74
9.16
8.63
8.15
7.72
7.32
6.97
6.64
6.34
6.08

11.80