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.

New worksheet Practise online with hints

For teachers: free to print, copy and use in class. Every new worksheet has new values and its own answer key. A link to ExamProblems on your course page is appreciated.

Name: ____________________ Date: ____________

1.Easy

A zero-coupon bond pays €1 000 in 5 years and nothing before. The yield to maturity is 3% per year. Find the price P of the bond.

F = €1 000n = 5YTM = 3%

P = €

2.Easy

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

F = €1 000coupon = 4%YTM = 9%n = 8

P = €

3.Medium

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

F = €1 000coupon = 3%YTM = 8%n = 3

P = €

4.Medium

A bond with a face value of €1 000 pays an annual coupon of 3% and matures in 7 years. Its yield to maturity changes from 8% to 7%. By how much ΔP does the bond price change?

F = €1 000coupon = 3%n = 7y₁ = 8%y₂ = 7%

ΔP = €

5.Hard

A bond with a face value of €1 000 pays a 3% annual coupon in two half-yearly payments and matures in 11 years. It sells for €1 048. Find its yield to maturity YTM as an annual rate (twice the half-yearly yield), in percent.

F = €1 000coupon = 3% (2×)n = 11P = €1 048

YTM = %

6.Hard

A bond trades at €1 005 with a yield to maturity of 5% (annual compounding) and a Macaulay duration of 3.1 years. Use the modified duration to estimate the new price P if the yield falls by 150 basis points.

P₀ = €1 005y = 5%D = 3.1Δy = −150 bp

P = €

Answer key

1. P = 862.6 €
2. P = 723.3 €
3. P = 868.9 €
4. ΔP = 44.75 €
5. YTM = 2.498 %
6. P = 1050 €

Full step-by-step solutions: practise this topic on examproblems.com.