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 bond with a face value of €1 000 pays an annual coupon of 4% and trades at €980. Find its current yield CY in percent.

F = €1 000coupon = 4%P = €980

CY = %

2.Easy

A bond with a face value of €1 000 pays an annual coupon of 4% and trades at €1 060. Find its current yield CY in percent.

F = €1 000coupon = 4%P = €1 060

CY = %

3.Medium

A bond with a face value of €1 000 pays a 5% annual coupon in two half-yearly payments and matures in 5 years. The yield to maturity is 3% per year. Find the price P of the bond.

F = €1 000coupon = 5%YTM = 3%n = 5

P = €

4.Medium

A bond with a face value of €1 000 pays a 5% annual coupon in two half-yearly payments and matures in 7 years. The yield to maturity is 7% per year. Find the price P of the bond.

F = €1 000coupon = 5%YTM = 7%n = 7

P = €

5.Hard

A bond trades at €945 with a yield to maturity of 7% (annual compounding) and a Macaulay duration of 9 years. Use the modified duration to estimate the new price P if the yield falls by 150 basis points.

P₀ = €945y = 7%D = 9Δy = −150 bp

P = €

6.Hard

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

F = €1 000coupon = 7%n = 6YTM = 3%

D = years

Answer key

1. CY = 4.082 %
2. CY = 3.774 %
3. P = 1092 €
4. P = 890.8 €
5. P = 1064 €
6. D = 5.194 years

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