K = Nx2 |
Bond Price =∑ [( Coupon)/(1 + YTM/2)^k] + Par value/(1 + YTM/2)^Nx2 |
k=1 |
K =13x2 |
Bond Price =∑ [(8.61*1000/200)/(1 + 7.45/200)^k] + 1000/(1 + 7.45/200)^13x2 |
k=1 |
Bond Price = 1095.54 |
Period | Cash Flow | Discounting factor | PV Cash Flow | Duration Calc |
0 | ($1,095.54) | =(1+YTM/number of coupon payments in the year)^period | =cashflow/discounting factor | =PV cashflow*period |
1 | 43.05 | 1.04 | 41.50 | 41.50 |
2 | 43.05 | 1.08 | 40.01 | 80.03 |
3 | 43.05 | 1.12 | 38.58 | 115.73 |
4 | 43.05 | 1.16 | 37.19 | 148.76 |
5 | 43.05 | 1.20 | 35.86 | 179.28 |
6 | 43.05 | 1.25 | 34.57 | 207.41 |
7 | 43.05 | 1.29 | 33.33 | 233.29 |
8 | 43.05 | 1.34 | 32.13 | 257.04 |
9 | 43.05 | 1.39 | 30.98 | 278.78 |
10 | 43.05 | 1.44 | 29.86 | 298.63 |
11 | 43.05 | 1.50 | 28.79 | 316.70 |
12 | 43.05 | 1.55 | 27.76 | 333.08 |
13 | 43.05 | 1.61 | 26.76 | 347.88 |
14 | 43.05 | 1.67 | 25.80 | 361.19 |
15 | 43.05 | 1.73 | 24.87 | 373.09 |
16 | 43.05 | 1.80 | 23.98 | 383.67 |
17 | 43.05 | 1.86 | 23.12 | 393.01 |
18 | 43.05 | 1.93 | 22.29 | 401.18 |
19 | 43.05 | 2.00 | 21.49 | 408.26 |
20 | 43.05 | 2.08 | 20.72 | 414.32 |
21 | 43.05 | 2.16 | 19.97 | 419.41 |
22 | 43.05 | 2.24 | 19.25 | 423.60 |
23 | 43.05 | 2.32 | 18.56 | 426.95 |
24 | 43.05 | 2.41 | 17.90 | 429.52 |
25 | 43.05 | 2.50 | 17.25 | 431.35 |
26 | 1,043.05 | 2.59 | 403.03 | 10,478.74 |
Total | 18,182.41 |
Macaulay duration =(∑ Duration calc)/(bond price*number of coupon per year) |
=18182.41/(1095.54*2) |
=8.29 |
Modified duration = Macaulay duration/(1+YTM) |
=8.3/(1+0.0745) |
=8.000 |
K = Nx2 |
Bond Price =∑ [( Coupon)/(1 + YTM/2)^k] + Par value/(1 + YTM/2)^Nx2 |
k=1 |
K =15x2 |
Bond Price =∑ [(7.789*1000/200)/(1 + 7.56/200)^k] + 1000/(1 + 7.56/200)^15x2 |
k=1 |
Bond Price = 1020.34 |
Macaulay duration =(∑ Duration calc)/(bond price*number of coupon per year) |
=18694.77/(1020.34*2) |
=9.16 |
Modified duration = Macaulay duration/(1+YTM) |
=9.16/(1+0.0756) |
=8.83 |
Please ask remaining parts seperately |
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