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 zero-coupon bond pays €1 000 in 7 years and nothing before. The yield to maturity is 3% per year. Find the price P of the bond.

F = €1 000n = 7YTM = 3%

P = €

2.Easy

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

F = €1 000coupon = 4%YTM = 5%n = 5

P = €

3.Medium

A bond with a face value of €1 000 pays a 7% annual coupon in two half-yearly payments and matures in 11 years. The yield to maturity is 6% per year. Find the price P of the bond.

F = €1 000coupon = 7%YTM = 6%n = 11

P = €

4.Medium

A bond with a face value of €1 000 pays a 4% annual coupon in two half-yearly payments and matures in 5 years. The yield to maturity is 9% per year. Find the price P of the bond.

F = €1 000coupon = 4%YTM = 9%n = 5

P = €

5.Hard

A bond trades at €1 030 with a yield to maturity of 3% (annual compounding) and a Macaulay duration of 4.9 years. Use the modified duration to estimate the new price P if the yield falls by 150 basis points.

P₀ = €1 030y = 3%D = 4.9Δy = −150 bp

P = €

6.Hard

A bond with a face value of €1 000 pays an annual coupon of 2% and matures in 6 years. The yield to maturity is 2.5%. Find the Macaulay duration D in years.

F = €1 000coupon = 2%n = 6YTM = 2.5%

D = years

Answer key

1. P = 813.1 €
2. P = 956.7 €
3. P = 1080 €
4. P = 802.2 €
5. P = 1104 €
6. D = 5.709 years

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