Bond duration
Risk – duration as interest rate sensitivity

Bond duration

Section Title: Risk – duration as interest rate sensitivity
Table Section Text: None

Description	Coupon ($ per year)	Initial Price (per $100 notional)	Final Principal Re-Payment	Yield	Macaulay Duration (years)	Modified Duration (% per 100bp yld ch)	BPV or DV01 ($ per 100bp yld ch)

5% semi-annual coupon bond	$5	$100	$100	5%	7.99yrs	7.79%	$7.79

5% semi-annual annuity	$5	$38.9729	$0	5%	4.84yrs	4.72%	$1.84

zero-coupon bond	$0	$61.0271	$100	5%	10yrs	9.76%	$5.95

5% fixed-floating swap, Receive fixed	$5	$0	$0	5%	NA	NA	$7.79

Sentence(s)

The annuity has the lowest sensitivity, roughly half that of the zero-coupon bond, with a modified duration of 4.72%.

final_sentence: The annuity has the lowest sensitivity, roughly half that of the zero-coupon bond, with a modified duration of 4.72%.