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    Brenda Rianita Hapsari - 12030119130222 - Tugas Bab 17 Dan 18

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    Brenda Hapsari
    This document contains computational bond pricing problems worked out by Brenda Rianita Hapsari. It includes calculations of yield to maturity, duration, and estimating price changes given changes in market rates. Specifically, it calculates the YTM and duration for several bonds, determines if bond proceeds will meet a future obligation, and estimates price impacts of rate changes using duration.

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    Brenda Rianita Hapsari - 12030119130222 - Tugas Bab 17 Dan 18

    Uploaded by

    Brenda Hapsari
    47 views9 pages
    This document contains computational bond pricing problems worked out by Brenda Rianita Hapsari. It includes calculations of yield to maturity, duration, and estimating price changes given changes in market rates. Specifically, it calculates the YTM and duration for several bonds, determines if bond proceeds will meet a future obligation, and estimates price impacts of rate changes using duration.

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    Brenda Rianita Hapsari_12030119130222_Tugas Bab 17 dan 18

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    This document contains computational bond pricing problems worked out by Brenda Rianita Hapsari. It includes calculations of yield to maturity, duration, and estimating price changes given changes in market rates. Specifically, it calculates the YTM and duration for several bonds, determines if bond proceeds will meet a future obligation, and estimates price impacts of rate changes using duration.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Download as xlsx, pdf, or txt
    47 views9 pages

    Brenda Rianita Hapsari - 12030119130222 - Tugas Bab 17 Dan 18

    Uploaded by

    Brenda Hapsari
    This document contains computational bond pricing problems worked out by Brenda Rianita Hapsari. It includes calculations of yield to maturity, duration, and estimating price changes given changes in market rates. Specifically, it calculates the YTM and duration for several bonds, determines if bond proceeds will meet a future obligation, and estimates price impacts of rate changes using duration.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Download as xlsx, pdf, or txt
    of 9

    Nama: Brenda Rianita Hapsari

    NIM: 12030119130222
    Kelas: B - Pasar Modal dan Pasar Uang

    17-10 Calculate the YTM for the following bonds


    a. A 12 percent, 20-year bond with a current price of $975
    b. A 6 percent, 10-year bond with a current price of $836
    c. A 9 percent, 8-year bond with a current price $714

    Answer

    a. Coupon Rate 12% Face Value $ 1,000


    Years to Maturity 20 Price (PV) $ 975
    n 40 Rate 6.17%
    PMT 60

    Rate x 2
    YTM 12.34%

    b. Coupon Rate 6% Face Value 1000


    Years to Maturity 10 Price (PV) 836
    n 20 Rate 4.23%
    PMT 30

    Rate x 2
    YTM 8.46%

    c. Coupon Rate 9% Face Value 1000


    Years to Maturity 8 Price (PV) 714
    n 16 Rate 7.66%
    PMT 45

    Rate x 2
    YTM 15%

    Computational Problems

    17-2 You need $40,000 five years from now to pay off a balloon payment on your house. You buy 30 bonds at f
    Will you have enough to meet your obligation at the end of five years?
    Answer

    PV $ 30,000
    i 6.2%
    n 5

    FV= PV ( 1 + I ) ^ n
    $ 40,526.9

    Yes it will be enough to meet the obligation at the end of five years by 40.526,9 of value

    17-3 Your aunt wishes to accumulate $100,000 as part of her retirement, which will occur 15 years from now. Sh
    These bonds have a maturity of nine years. She anticipates that at the end of nine years she can invest her a

    Answer

    No of Bonds Purchased 50
    Face Value $ 1,000
    Total Face Value $ 50,000
    r 5.4% 2.7%
    n 9

    FV= PV * ( 1+ r ) ^ n
    $ 80,266.7

    So the bonding redemption amount in year of 9 is $80,267


    The total value of the bonds for the remaining 6 years on a semiannual basis is

    FV = PV * ( 1+r/2) ^ ( n * 2)
    $ 110,505
    house. You buy 30 bonds at face value with five ‐year maturities yielding 6.2 percent.
    ,9 of value

    l occur 15 years from now. She can buy 50 bonds at face value yielding 5.4 percent.
    ine years she can invest her accumulated wealth from the bonds in a 4.2 percent savings account with semiannual compounding.
    h semiannual compounding. Can she achieve her goal of $100,000?
    Nama: Brenda Rianita Hapsari
    NIM: 12030119130222
    Kelas: B - Pasar Modal dan Pasar Uang

    Computational Problems

    18-1 Given a 10 percent, three-year bond with a price of $1,052.24, with a market yield of 8 percent, calculate i

    Period CF PVF @4% PV Weight Time*Weight


    1 50 0.9615 48.0769230769 0.045690074 0.046
    2 50 0.9246 46.2278106509 0.043932763 0.088
    3 50 0.8890 44.4498179335 0.042243041 0.127
    4 50 0.8548 42.7402095515 0.040618309 0.162
    5 50 0.8219 41.096355338 0.039056066 0.195
    6 1050 0.7903 829.830252017 0.788632111 4.732
    5.2421 5.350

    Answer
    Duration= Period * Weight/2
    Duration= 2.675 year

    18-2 Using the duration from Problem 18-1, determine


    a. The modified duration
    b. The percentage change in the price of the bond if r changes 0,50 percent

    Answer

    a. Modified duration 2.55502392344

    Estimated change in price -0.0063875

    b. The percentage change in the price of the bond if r changes 0,50 percent
    1.025,79 x (1+0,0064)
    1,032.355

    18-3 Calculate the duration of a 12 percent coupon bond with 10 years remaining to maturity and selling at par.
    Given the duration calculated, calculate the percentage change in bond price if the market discount rate fo

    Answer

    Period CF PVF @12% PV Weight


    1 120 0.8929 107.14 0.1071
    2 120 0.7972 95.66 0.0957
    3 120 0.7118 85.41 0.0854
    4 120 0.6355 76.26 0.0763
    5 120 0.5674 68.09 0.0681
    6 120 0.5066 60.80 0.0608
    7 120 0.4523 54.28 0.0543
    8 120 0.4039 48.47 0.0485
    9 120 0.3606 43.27 0.0433
    10 1120 0.3220 360.61 0.3606

    So the duration is 6,3282 year

    Estimated change in price of obligation


    '-D/(1+YTM) x % perubahan YTM)
    '-6,33/(1+0,12) x (-0,0075)
    -5.65178571 x -0,0075
    4.24%

    So the current price of the obligaion is


    1042.40
    market yield of 8 percent, calculate its duration using the format illustrated in Table 18-1

    ining to maturity and selling at par. Use annual interest rates


    price if the market discount rate for this bond declines by 0.75 percent.

    Time*Weight
    0.1071
    0.1913
    0.2562
    0.3050
    0.3405
    0.3648
    0.3800
    0.3877
    0.3895
    3.6061
    6.3282

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