Central Bank of Egypt

Assuming that the Fund holds a bond maturing in 5 years, the bond pays 10% annual coupon every 6 month.

The current yield to maturity at the market is 8%.

1^st Row: Time in years (T) is the time when the bond's payment is due. For example, if the bond is supposed to pay a coupon of 5 pounds in 6 months, so the respective time for that is 0.5 years, if the bond is supposed to pay a coupon of 5 pounds in 12 month then time is 1 and so forth.

2^nd Row: Cash Flow (CF) is the expected payments that will be paid. For example, every 6 month the bond will be paying 5 pounds as a coupon except the last year, the bond will pay 5 pounds coupon plus 100 pounds the face value of the bond.

3^rd Row: Present Value PV(CFt) the value of the coupons and principle that will be paid in the Future as of Today. For example, the bond will pay 5 pounds in 6 month, these 5 pounds worth 4.808 as of today using the following equation:

Coupon .

[(1+ (Yield to Maturity / Number of Coupons per Year)) ^ (Time in Year * Number of Coupons per Year)]

So Present value for the first coupon = 5 / [(1 + (8%/2) ^ (.5*2)] = 4.8076 ~ 4.808

4^th Row: Market Price the total of the present value calculated in 3^rd row Present Value

5^th Row: Time * PV(CFt) the multiplication of present value of the cash flow 3^rd Row and respective time 1^st Row. For example, for the first 6 month the expected value is 4.808 * .5 yrs = 2.404

6^th Row: Time * PV(CFt) / Market Price value in the 5^th row by the Market Value from 4^th row. For example, in the first 6 month the value = 2.404 / 108.111 = 0.022

7^th Row: _and_#8721; [ Time * PV(CFt) / MKT Price ] is the total of values in 6^th Row.

8^th Row: _and_#8721; [ Time * PV(CFt) / MKT Price ] value in the 7^th row divided by

(1 + (Yield to Maturity/Number of Coupons per Year). For example, the value = 4.095 / (1 + 8% / 2 ) = 3.938 or DURATION