Bond pricing & yield worksheet with answers

Free printable Bond pricing & yield worksheet: 6 problems from easy to exam level, with an answer key. Print it or save it as a PDF.

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Name: ____________________ Date: ____________

1.Easy

A zero-coupon bond with a face value of €1 000 matures in 6 years and costs €814 today. Find its yield to maturity YTM in percent.

F = €1 000n = 6P = €814

YTM = %

2.Easy

A bond with a face value of €1 000 pays an annual coupon of 7% and matures in 3 years. The yield to maturity is 6%. Find the price P of the bond.

F = €1 000coupon = 7%YTM = 6%n = 3

P = €

3.Medium

A bond with a face value of €1 000 pays a 4.5% annual coupon in two half-yearly payments and matures in 3 years. The yield to maturity is 8% per year. Find the price P of the bond.

F = €1 000coupon = 4.5%YTM = 8%n = 3

P = €

4.Medium

You buy a bond with 11 years to maturity (face value €1 000, annual coupon 7%) when its yield to maturity is 3%. One year later, just after receiving the first coupon, you sell it when the yield to maturity is 2.5%. Find your holding period return HPR in percent.

F = €1 000coupon = 7%n = 11y₀ = 3%y₁ = 2.5%

HPR = %

5.Hard

A bond with a face value of €1 000 pays an annual coupon of 4% and matures in 3 years. The yield to maturity is 7%. Find the Macaulay duration D in years.

F = €1 000coupon = 4%n = 3YTM = 7%

D = years

6.Hard

A bond with a face value of €1 000 pays an annual coupon of 7% and matures in 4 years. The yield to maturity is 5.5%. Find the Macaulay duration D in years.

F = €1 000coupon = 7%n = 4YTM = 5.5%

D = years

Answer key

1. YTM = 3.489 %
2. P = 1027 €
3. P = 908.3 €
4. HPR = 6.842 %
5. D = 2.881 years
6. D = 3.635 years

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