Given a five-year, 8% coupon bond with a face value of $1,000 and coupon payments made annually, Calculate the following:

 What is the bond value if it is trading at the yield of 6%?
 What is the bond value if it is trading at the yield of 8%?
 What is the bond value if it is trading at the yield of 10%?

Comment  on the  price  and yield  relation  you observe.  What  are the percentage changes  in  value when  the  yield goes  from  6% to  8%  and when  it  goes from 8% to 10%?

Suppose an investor bought a 10-year, 10% annual coupon bond at par (face value of $1,000 and paying coupons annually) and then sold it 3.5 years later at a yield of 8%.

 
What is the full price?
What is the accrued interest the investor would receive when he sold the bond? (Use a 30/360-day count convention)
What is the clean price?

 

A zero-coupon Treasury bill maturing in 150 days is trading at $98 per $100 face value.
Determine the following rates for the T-bill:
Dealer's annual discount yield? (use 360-day count convention)
Yield to maturity? (Use an actual 365-day count convention)
 Logarithmic return (use an actual 365-day count convention)

 

Calculate both Macaulay and modified durations of the eight-year, 8.5% coupon bond given a flat yield curve at 10%.