TREASURY BOND CALCULATION Basic bond question Current date Previous interest payment date Next interest payment date Coupon 20-Feb-01 15-Oct-00 15-Apr-01 3,250.00 This $100k face value bond pays $6,500 in total annual interest. This total interest is paid in two coupon payments made semiannually and the bond matures on 15 October 2006. Assume the coupon dates are the same every year. 1) Find the invoice price of this treasury bond. Days since last coupon date Days between last coupon date and next coupon date 2) Create a table WITH DATES that show the relevant cash flows for the bond. Accrued interest 3) Find the YTM in two ways (there may be slight differences the rates depending on your methods). 107,152.00 Bond price Accrued interest Invoice price TREASURY BOND CALCULATION Basic bond question Current date Previous interest payment date Next interest payment date Coupon 20-Feb-01 15-Oct-00 15-Apr-01 3,250.00 This $100k face value bond pays $6,500 in total annual interest. This total interest is paid in two coupon payments made semiannually and the bond matures on 15 October 2006. Assume the coupon dates are the same every year. 1) Find the invoice price of this treasury bond. Days since last coupon date Days between last coupon date and next coupon date 2) Create a table WITH DATES that show the relevant cash flows for the bond. Accrued interest 3) Find the YTM in two ways (there may be slight differences the rates depending on your methods). 107,152.00 Bond price Accrued interest Invoice price