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Exercises_BOND

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Tran Minh Tri
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3 views

Exercises_BOND

Uploaded by

Tran Minh Tri
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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Calculation exercises

1.
Suppose you have a bond that has a face value equal to 5 000 EUR and a 12 percent coupon
rate of interest. The bond matures in 5 years, and its current price is 62 00 EUR. The interest is
paid yearly.

a) Give the future payments of your bond.


b) Determine the bond’s yield to maturity.

2.
Consider the following prices of four bonds with 10-year maturities. Face value is 100 units.
The price is given as a percentage of the face value.
Bond Coupon
Year Price (%)
rate (%)
A 96.4 3
B 100.6 4
C 120 6
D 126.8 8

a) Which bond had the highest yield to maturity?

3.
Consider the following cash flows of securities. The interest rate is 8%.
Year A B C
1. 50 16 20
2. 50 16 20
3. 50 16 20
4. 250 16 20
5. 116 220

a) Give the coupon interest of bonds A, B, and C.

b) Calculate the duration of securities A, B, and C.

c) Calculate the volatilities of securities A, B, and C.

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