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 4.5% and matures in 6 years. The yield to maturity is 9%. Find the price P of the bond.

F = €1 000coupon = 4.5%YTM = 9%n = 6

P = €

2.Easy

A zero-coupon bond with a face value of €1 000 matures in 9 years and costs €656 today. Find its yield to maturity YTM in percent.

F = €1 000n = 9P = €656

YTM = %

3.Medium

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

F = €1 000coupon = 8%YTM = 3%n = 8

P = €

4.Medium

A bond with a face value of €1 000 matures in 3 years and pays annual coupons. It sells for €823 when the yield to maturity is 9%. Find the coupon rate c in percent.

F = €1 000n = 3P = €823YTM = 9%

c = %

5.Hard

A bond trades at €1 090 with a yield to maturity of 7% (annual compounding) and a Macaulay duration of 8.8 years. Use the modified duration to estimate the new price P if the yield rises by 150 basis points.

P₀ = €1 090y = 7%D = 8.8Δy = +150 bp

P = €

6.Hard

A bond with a face value of €1 000 pays an annual coupon of 4.5% and matures in 4 years. The yield to maturity is 6%. Find the Macaulay duration D in years.

F = €1 000coupon = 4.5%n = 4YTM = 6%

D = years

Answer key

1. P = 798.1 €
2. YTM = 4.796 %
3. P = 1353 €
4. c = 2.008 %
5. P = 955.5 €
6. D = 3.741 years

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