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8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 A Market Price (PV) $ Coupon Rate Maturity (Years) Payment Frequency (M)= Semi- Annual Annual YTM Annual Duration Annual Modified Duration Change in Price Percentage Change in Price B 1,000.00 1.65% 5 #DIV/0! #DIV/0! Years #DIV/0! Years #DIV/0! #DIV/0! % N 1 2 3 4 5 6 7 8 9 10 W D PMT E F H PVCF"N Probability Semi-Annual #DIV/0! #DIV/0! PVCF CF #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #REF! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! Duration #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! K 32 33 1. Compute YTM 34 35 36 37 38 39 40 41 42 2. Compute Duration 43 44 45 46 47 A 51 52 FV= PV = PMT= N*M= Semi Annual YTM Annual YTM A. Annual Duration (from Table) B. Annual Duration C. Semi - Annual Duration 48 3. Compute Modified Duration (MD) 49 50 A. Annual Modified Duration B. Semi - Annual Modified Duration B #DIV/0! 0 #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! D E F G H J 4U 41 42 2. Compute Duration 43 44 A 56 57 58 45 46 47 48 3. Compute Modified Duration (MD) 49 50 51 52 59 60 61 62 63 Alllival I LIVE A. Annual Duration (from Table) B. Annual Duration C. Semi - Annual Duration 53 increase in interest rate) 54 55 A. Annual Modified Duration B. Semi - Annual Modified Duration 4. Change in Price (150 basis point Percentage Change in Price B #DIV/U: #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! Change in Price #DIV/0! 1.5% Beginning Price FV $ PV $ C #DIV/0! % D FV CPT PV PMT N CPT YTM #DIV/0! YTM #DIV/0! PMT E Ending Price $ #DIV/0! #DIV/0! 0 #DIV/0! F G H J 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 A Market Price (PV) $ Coupon Rate Maturity (Years) Payment Frequency (M)= Semi- Annual Annual YTM Annual Duration Annual Modified Duration Change in Price Percentage Change in Price B 1,000.00 1.65% 5 #DIV/0! #DIV/0! Years #DIV/0! Years #DIV/0! #DIV/0! % N 1 2 3 4 5 6 7 8 9 10 W D PMT E F H PVCF"N Probability Semi-Annual #DIV/0! #DIV/0! PVCF CF #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #REF! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! Duration #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! K 32 33 1. Compute YTM 34 35 36 37 38 39 40 41 42 2. Compute Duration 43 44 45 46 47 A 51 52 FV= PV = PMT= N*M= Semi Annual YTM Annual YTM A. Annual Duration (from Table) B. Annual Duration C. Semi - Annual Duration 48 3. Compute Modified Duration (MD) 49 50 A. Annual Modified Duration B. Semi - Annual Modified Duration B #DIV/0! 0 #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! D E F G H J 4U 41 42 2. Compute Duration 43 44 A 56 57 58 45 46 47 48 3. Compute Modified Duration (MD) 49 50 51 52 59 60 61 62 63 Alllival I LIVE A. Annual Duration (from Table) B. Annual Duration C. Semi - Annual Duration 53 increase in interest rate) 54 55 A. Annual Modified Duration B. Semi - Annual Modified Duration 4. Change in Price (150 basis point Percentage Change in Price B #DIV/U: #DIV/0! #DIV/0! #DIV/0! #DIV/0! #DIV/0! Change in Price #DIV/0! 1.5% Beginning Price FV $ PV $ C #DIV/0! % D FV CPT PV PMT N CPT YTM #DIV/0! YTM #DIV/0! PMT E Ending Price $ #DIV/0! #DIV/0! 0 #DIV/0! F G H J
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To solve this problem we need to compute the following 1 Yield to Maturity YTM 2 Duration 3 Modi... View the full answer
Related Book For
Microsoft Excel Data Analysis And Business Modeling
ISBN: 9780137613663
7th Edition
Authors: Wayne Winston
Posted Date:
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