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
years01234567€20€20€20 + €1 000P = ?

A bond with a face value of €1 000 pays an annual coupon of 2% and matures in 7 years. The yield to maturity is 8%. Find the price P of the bond.

F = €1 000coupon = 2%YTM = 8%n = 7
P = €
2.Easy
years0123…9€30€30€30 + €1 000P = ?

A bond with a face value of €1 000 pays an annual coupon of 3% and matures in 9 years. The yield to maturity is 5%. Find the price P of the bond.

F = €1 000coupon = 3%YTM = 5%n = 9
P = €
3.Medium

You buy a bond with 11 years to maturity (face value €1 000, annual coupon 8%) when its yield to maturity is 3%. One year later, just after receiving the first coupon, you sell it when the yield to maturity is 3.5%. Find your holding period return HPR in percent.

F = €1 000coupon = 8%n = 11y0 = 3%y1 = 3.5%
HPR = %
4.Medium

You buy a bond with 12 years to maturity (face value €1 000, annual coupon 7%) when its yield to maturity is 4%. One year later, just after receiving the first coupon, you sell it when the yield to maturity is 5%. Find your holding period return HPR in percent.

F = €1 000coupon = 7%n = 12y0 = 4%y1 = 5%
HPR = %
5.Hard

A bond trades at €1 020 with a yield to maturity of 7% (annual compounding) and a Macaulay duration of 8.7 years. Use the modified duration to estimate the new price P if the yield rises by 150 basis points.

P0 = €1 020y = 7%D = 8.7Δy = +150 bp
P = €
6.Hard

A bond trades at €940 with a yield to maturity of 3% (annual compounding) and a Macaulay duration of 10.3 years. Use the modified duration to estimate the new price P if the yield falls by 25 basis points.

P0 = €940y = 3%D = 10.3Δy = −25 bp
P = €

Answer key

  1. 1. P = 687.6 €
  2. 2. P = 857.8 €
  3. 3. HPR = −0.5732 %
  4. 4. HPR = −3.544 %
  5. 5. P = 895.6 €
  6. 6. P = 963.5 €

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