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 with a face value of €1 000 matures in 9 years and costs €553 today. Find its yield to maturity YTM in percent.

F = €1 000n = 9P = €553

YTM = %

2.Easy

A bond with a face value of €1 000 pays an annual coupon of 4.5% and trades at €970. Find its current yield CY in percent.

F = €1 000coupon = 4.5%P = €970

CY = %

3.Medium

You buy a bond with 10 years to maturity (face value €1 000, annual coupon 5%) when its yield to maturity is 7%. One year later, just after receiving the first coupon, you sell it when the yield to maturity is 7.5%. Find your holding period return HPR in percent.

F = €1 000coupon = 5%n = 10y₀ = 7%y₁ = 7.5%

HPR = %

4.Medium

A bond with a face value of €1 000 pays a 6% 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 = 6%YTM = 8%n = 7

P = €

5.Hard

A bond trades at €995 with a yield to maturity of 3% (annual compounding) and a Macaulay duration of 9.1 years. Use the modified duration to estimate the new price P if the yield rises by 75 basis points.

P₀ = €995y = 3%D = 9.1Δy = +75 bp

P = €

6.Hard

A bond trades at €945 with a yield to maturity of 7% (annual compounding) and a Macaulay duration of 10.6 years. Use the modified duration to estimate the new price P if the yield falls by 75 basis points.

P₀ = €945y = 7%D = 10.6Δy = −75 bp

P = €

Answer key

1. YTM = 6.804 %
2. CY = 4.639 %
3. HPR = 3.607 %
4. P = 894.4 €
5. P = 929.1 €
6. P = 1015 €

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