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The document provides instructions for four tasks involving financial calculations using Excel functions for bonds, including calculating missing prices and yields, finding yields using the yield function, calculating bond prices using spot rates, and determining duration and price changes with changes in yield. Sample bond data and a spot rate curve are provided to complete the tasks.

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Sanja Sekulic
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47 views

Kopie Von Assignment1 - Onlinesolution

The document provides instructions for four tasks involving financial calculations using Excel functions for bonds, including calculating missing prices and yields, finding yields using the yield function, calculating bond prices using spot rates, and determining duration and price changes with changes in yield. Sample bond data and a spot rate curve are provided to complete the tasks.

Uploaded by

Sanja Sekulic
Copyright
© Attribution Non-Commercial (BY-NC)
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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Financial Instruments and Portfolio Theorie Assignment 1

General remark: For each task, create a new Excel sheet, copy the necessary data on the new sheet and solve the task on th Excel Functions to be used: Price() Sum() Yield() Duration() IRR() Mduration() Coupdaybs() Coupdaysnc() AccrInt() Deutsche Version: Kurs() Summe() Rendite() Duration() IKV() Mduration() Zinstermtagnz()Zinstermtagva() Aufgelzins()

Task 1

Use the data of bonds A to D given on sheet 'Data' and calculate the missing quantities (price/yield) using the appropriate Exce Calculate the yield to maturity also using Excel's internal rate of return function, applied on the appropriate cash flow.

Task 2
Use the quoted prices and the data given for the Greek Government Bond and the Bond of 'Bayrische Landesbank'. Use Excels Yield function to find the yield to maturity of these bonds. Redo the calculation 'by hand' (using Excel, but not its yield function) to confirm Excel's solution.

Task 3
Find the price of Bond B using the spot rate curve given on sheet 'Data'. Hint: First, write the bonds cash flow in a row next to the spot rates. Then sum the present values of each cash flow to find the

Task 4
First, find the (Macauly) duration of bond B using its yield. Do this calculation twice: once using Excels function, and once 'by hand' creating a table similar to the one given in the lecture notes. Next, determine the (approximate) price of bond B using (modified) duration if its yield rises by 0.5%. Finally, compare the approximate price to the exact price (using the Excel's price function with the new yield as input).

heet and solve the task on that sheet.

d) using the appropriate Excel functions. propriate cash flow.

sche Landesbank'.

of each cash flow to find the bonds price.

xcels function,

e new yield as input).

Bond Data Bond A 100 5.0% 100 1/1/2011 1/1/2015 Bond B 5000 4.00% 5000 1/1/2011 1/1/2021 Bond C 100 5.00% 100 1/1/2011 1/1/2015 96.00 6.00% 5.00% Bond D 1000 6.00% 1000 1/1/2011 1/1/2041 876.00

Nominal Coupon rate Redemption Settlement date Maturity date (Quoted) Price Yield / Market interest

Spot Rate Curve Time (year) 1 2 3 4 5 6 7 8 9 10 Rate 2.00% 3.00% 4.00% 4.50% 5.00% 5.25% 5.50% 6.25% 6.50% 6.75%

Bond Data Bond A 100 5.0% 100 1/1/2011 1/1/2015 96.53 6.00% Bond B 5000 4.00% 5000 1/1/2011 1/1/2021 4,613.91 5.00% Bond C 100 5.00% 100 1/1/2011 1/1/2015 96.00 6.16% Cash flow 0 1 2 3 4 Yield -96 5 5 5 105 6.16% Bond D 1000 6% 1000 1/1/2011 1/1/2041 876.00 7.00%

Nominal Coupon rate Redemption Settlement date Maturity date Price Yield / Market interest

Nominal Coupon rate Redemption Settlement date Maturity date (Quoted) Price

Greek Gvnmt Bond Byrische Bond Landesbank 100 100 2.375% 3.125% 100 100 3/2/2011 3/2/2011 3/18/2011 10/12/2016 99.79 88.75

3/18/2010

10/12/2010

Yield (Excel) Yield ('by hand') Days elapsed Accrued Interest Dirty price Days remaining Using 'mixed interest' Yield Calculated price (for Excels Goal Seek)

6.957%

5.506%

344 2.27 102.06 16

140 1.22 89.97 220

2.27

1.22

6.957%

5.497% 89.97

Using 'fractional exponents' Yield Calculated price 5.505% 89.97

Nominal Coupon rate Redemption Settlement date Maturity date Price Yield / Market interest

Bond B 5000 4.00% 5000 1/1/2011 1/1/2021

5.00%

Spot Rate Curve Time (year) 1 2 3 4 5 6 7 8 9 10 Rate 2.00% 3.00% 4.00% 4.50% 5.00% 5.25% 5.50% 6.25% 6.50% 6.75% Cashflow Discount PV CF 200 0.98 196.08 200 0.94 188.52 200 0.89 177.80 200 0.84 167.71 200 0.78 156.71 200 0.74 147.13 200 0.69 137.49 200 0.62 123.14 200 0.57 113.47 5200 0.52 2,705.98 Price 4,114.02

Bond Data Bond B 5000 4.00% 5000 1/1/2011 1/1/2021 Time 1 2 3 4 5 6 7 8 9 10 CFt 200 200 200 200 200 200 200 200 200 5200 Price Duration PV(CF) t * PV(CF) 190.48 190.48 181.41 362.81 172.77 518.30 164.54 658.16 156.71 783.53 149.24 895.46 142.14 994.95 135.37 1,082.94 128.92 1,160.30 3,192.35 ### 4,613.91 8.36 ###

Nominal Coupon rate Redemption Settlement date Maturity date

Price 4,613.91 Yield / Market interest 5.00%

(Macauley) duration (Modified) duration Delta yield Price change New price (approx.) New price (exact)

8.36 7.96 0.50% -183.67 4,430.24 4,434.68

Time Weighted

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