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 bond with a face value of €1 000 pays an annual coupon of 5% and matures in 10 years. The yield to maturity is 8%. Find the price P of the bond.

F = €1 000coupon = 5%YTM = 8%n = 10

P = €

2.Easy

A zero-coupon bond pays €1 000 in 11 years and nothing before. The yield to maturity is 3% per year. Find the price P of the bond.

F = €1 000n = 11YTM = 3%

P = €

3.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 8% per year. Find the price P of the bond.

F = €1 000coupon = 5%YTM = 8%n = 7

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 3% per year. Find the price P of the bond.

F = €1 000coupon = 5%YTM = 3%n = 7

P = €

5.Hard

A bond trades at €920 with a yield to maturity of 7% (annual compounding) and a Macaulay duration of 6.8 years. Use the modified duration to estimate the new price P if the yield falls by 150 basis points.

P₀ = €920y = 7%D = 6.8Δy = −150 bp

P = €

6.Hard

A bond trades at €915 with a yield to maturity of 7% (annual compounding) and a Macaulay duration of 9.5 years. Use the modified duration to estimate the new price P if the yield rises by 25 basis points.

P₀ = €915y = 7%D = 9.5Δy = +25 bp

P = €

Answer key

1. P = 798.7 €
2. P = 722.4 €
3. P = 841.6 €
4. P = 1125 €
5. P = 1008 €
6. P = 894.7 €

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