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Find Bond Price Small Change YTM Large Change YTM: Assignment 11

This document contains information about bond prices and yields for different scenarios. It provides the settlement date, maturity date, coupon rate, yield to maturity, par value, and frequency of coupons for various bonds. It then shows the calculated bond price and yield to maturity for each scenario. The duration and modified duration are also included for one of the bonds.

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Richard Yu
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26 views

Find Bond Price Small Change YTM Large Change YTM: Assignment 11

This document contains information about bond prices and yields for different scenarios. It provides the settlement date, maturity date, coupon rate, yield to maturity, par value, and frequency of coupons for various bonds. It then shows the calculated bond price and yield to maturity for each scenario. The duration and modified duration are also included for one of the bonds.

Uploaded by

Richard Yu
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLSX, PDF, TXT or read online on Scribd
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Assignment 11

Richard Yu

Part A
FIND BOND PRICE
Settlement date
Maturity date
Coupon rate %
Yield to maturity %
Par in $s
Frequency of coupons/yr

11/30/2016
11/30/2021
5.000%
6.500%
$
100.00
1

Small change YTM Large change YTM


11/30/2016
11/30/2016
11/30/2021
11/30/2021
5.000%
5.000%
6.600%
7.500%
$
100.00 $
100.00
1
1

BOND PRICE (per $100 par)


BOND PRICE

$
$

$
$

93.766
937.66

Exact % change in bond price


Approx. % change in bond price
DURATION

4.52894

MODIFIED DURATION

4.25253

FIND BOND YIELD TO MATURITY


Settlement
Maturity
Coupon rate %
Bond price currently (per $100 par)
Par in $s
Frequency of coupons/yr
BOND YIELD TO MATURITY

Insert Part B below here

11/30/2016
11/30/2036
5.000%
$90
$100
1
#REF!

93.369 $
933.688 $

89.885
898.853

-0.424%
-0.425%

-4.139%
-4.253%

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