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 5% and trades at €870. Find its current yield CY in percent.

F = €1 000coupon = 5%P = €870

CY = %

2.Easy

A bond with a face value of €1 000 pays an annual coupon of 5% and matures in 4 years. The yield to maturity is 8%. Find the price P of the bond.

F = €1 000coupon = 5%YTM = 8%n = 4

P = €

3.Medium

A bond with a face value of €1 000 pays an annual coupon of 6% and matures in 14 years. Its yield to maturity changes from 4% to 5.5%. By how much ΔP does the bond price change?

F = €1 000coupon = 6%n = 14y₁ = 4%y₂ = 5.5%

ΔP = €

4.Medium

A bond with a face value of €1 000 pays a 4% annual coupon in two half-yearly payments and matures in 6 years. The yield to maturity is 7% per year. Find the price P of the bond.

F = €1 000coupon = 4%YTM = 7%n = 6

P = €

5.Hard

A bond trades at €1 060 with a yield to maturity of 5% (annual compounding) and a Macaulay duration of 6.3 years. Use the modified duration to estimate the new price P if the yield rises by 100 basis points.

P₀ = €1 060y = 5%D = 6.3Δy = +100 bp

P = €

6.Hard

A bond with a face value of €1 000 pays an annual coupon of 8% and matures in 4 years. The yield to maturity is 9%. Find the Macaulay duration D in years.

F = €1 000coupon = 8%n = 4YTM = 9%

D = years

Answer key

1. CY = 5.747 %
2. P = 900.6 €
3. ΔP = −163.3 €
4. P = 855 €
5. P = 996.4 €
6. D = 3.569 years

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