Consider a bond with market value $92.37 (face value = $100) and a coupon of $5.059 dollars paid every six months (Semiannually  December and June). The time to maturity is 10 semiannual periods. Assume today is January 1st, 2015. Therefore, the face value of the bond will be repaid on December 2019.
Upload your spreadsheet on the course website (you might want to use the spreadsheet “11 Bond Yield and Duration Example” that we analyzed in class as a starting point for your calculations) and provide the answers to the following questions on paper.
CALCULATION OF YTM  
Pv  Current Market Value  $92.37  
Nper  Number of semi annual period to maturity  10  
Pmt  Semi annual coupon payment  $5.059  
Fv  Redemption payment at end of 10 periods  $100  
RATE  Semi annual Yield to maturity  6.10%  (Using RATE function of excel with Nper=10,Pmt=5.059,Pv=92.37,Fv=100)  
Annual YTM =((1+0.0610)^2)1  0.125721  
Annual YTM in percentage  12.5721%  
DURATION OF BOND  
N  A  B=A/(1.125721^N)  C=A*N  D=C/(1.125721^N)  
Annual Period  Cash Flow  Present Value  Cash flow*  PV of (cash  
(PV)of Cash flow  Period  flow*Period)  
0.5  $5.059  4.768  $2.530  2.384  
1.0  $5.059  4.494  $5.059  4.494  
1.5  $5.059  4.236  $7.589  6.353  
2.0  $5.059  3.992  $10.118  7.984  
2.5  $5.059  3.763  $12.648  9.406  
3.0  $5.059  3.546  $15.177  10.639  
3.5  $5.059  3.342  $17.707  11.698  
4.0  $5.059  3.150  $20.236  12.601  
4.5  $5.059  2.969  $22.766  13.361  
Cashflow=  (100+5.059)  5.0  $105.059  58.114  $525.295  290.569  
SUM  92.37  369.49  
l Bond Duration in years  3.999926  (369.49/92.37)  
RESALE PRICE AFTER 4 YEARS  
CF  PV=CF/(1.125721^N)  
Annual Period after 4 years  Cash flow  PV of cash Flow  
0.5  $5.059  4.768  
Cashflow=  (100+5.059)  1  $105.059  93.326  
SUM  98.09  
Resale Price After 4 years  $98.09  

Consider a bond with market value $92.37 (face value = $100) and a coupon of $5.059 dollars paid ...