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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1.Easy

A zero-coupon bond pays €1 000 in 20 years and nothing before. The yield to maturity is 5% per year. Find the price P of the bond.

F = €1 000n = 20YTM = 5%

P = €

2.Easy

A bond with a face value of €1 000 pays an annual coupon of 2% and matures in 3 years. The yield to maturity is 3.5%. Find the price P of the bond.

F = €1 000coupon = 2%YTM = 3.5%n = 3

P = €

3.Medium

A bond with a face value of €1 000 matures in 15 years and pays annual coupons. It sells for €909 when the yield to maturity is 7%. Find the coupon rate c in percent.

F = €1 000n = 15P = €909YTM = 7%

c = %

4.Medium

A bond with a face value of €1 000 pays a 5% annual coupon in two half-yearly payments and matures in 6 years. The yield to maturity is 4% per year. Find the price P of the bond.

F = €1 000coupon = 5%YTM = 4%n = 6

P = €

5.Hard

A bond trades at €980 with a yield to maturity of 6% (annual compounding) and a Macaulay duration of 6 years. Use the modified duration to estimate the new price P if the yield rises by 25 basis points.

P₀ = €980y = 6%D = 6Δy = +25 bp

P = €

6.Hard

A bond trades at €950 with a yield to maturity of 5% (annual compounding) and a Macaulay duration of 4.1 years. Use the modified duration to estimate the new price P if the yield falls by 150 basis points.

P₀ = €950y = 5%D = 4.1Δy = −150 bp

P = €

Answer key

1. P = 376.9 €
2. P = 958 €
3. c = 6.001 %
4. P = 1053 €
5. P = 966.1 €
6. P = 1006 €

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