1. Frequency 1
NPER 10
Face Value $1,000
Coupon Rate 12% PV of Bond =
YTM 12% YTM =
PV_t
(pv of each
Year Cash Payment
payment at
time t)
m
1 $120.00 $107.14
Ct
∑
2 $120.00 $95.66
3
4
$120.00
$120.00
$85.41
$76.26
P=
(1 + r ) t
5 $120.00 $68.09
6 $120.00 $60.80
7
8
$120.00
$120.00
$54.28
$48.47 t= 1
9 $120.00 $43.27
10 $120.00 $38.64
10 $1,000.00 $321.97
PV of Bond = sum of Col C --> $1,000.00
YTM PV of Bond
1% $2,042 $2,500
2% $1,898
3% $1,768
4% $1,649 $2,000
5% $1,541
6% $1,442
7% $1,351
$1,500
8% $1,268
9% $1,193
10% $1,123
11% $1,059 $1,000
12% $1,000
13% $946
14% $896 $500
15% $849
$0
2% 4% 6% 8% 10% 12%
1% 3% 5% 7% 9% 11% 1

2. $1,000
$500
16% $807
17% $767 $0
18% $730 2% 4% 6% 8% 10% 12%
19% $696 1% 3% 5% 7% 9% 11% 1
20% $665

3. PV(10%,10,100,1000,0) $1,000.00
RATE($B$2,$B$3*$B$4,$B$3,0,$B$4) 12.00%
m
Ct
P= ∑
t=1 (1 + r ) t
00
00
00
00
00
$0
2% 4% 6% 8% 10% 12% 14% 16% 18% 20%
1% 3% 5% 7% 9% 11% 13% 15% 17% 19%

4. 00
00
$0
2% 4% 6% 8% 10% 12% 14% 16% 18% 20%
1% 3% 5% 7% 9% 11% 13% 15% 17% 19%

5. Face Value $1,000
Coupon Rate 10%
YTM 10%
PV_t Year*Weight in
(pv of each Share of Col D
payment at time total PV = (weighted Avg
Year Cash Payment t) PV_t/Price B of each Year)
1 $100.00 $90.91 9.09% 0.09
2 $100.00 $82.64 8.26% 0.17
3 $100.00 $75.13 7.51% 0.23
4 $100.00 $68.30 6.83% 0.27
5 $100.00 $62.09 6.21% 0.31
6 $100.00 $56.45 5.64% 0.34
7 $100.00 $51.32 5.13% 0.36
8 $100.00 $46.65 4.67% 0.37
9 $100.00 $42.41 4.24% 0.38
10 $100.00 $38.55 3.86% 0.39
10 $1,000.00 $385.54 38.55% 3.86
PV of Bond = sum of Col C --> $1,000.00 6.76
Interest Rate Risk
%∆P = - DUR x ∆i/(1+i)
Duration 6.76
Original Price 1000.00
New YTM 11.00%
Old YTM 10.00%
∆i/(1+i) 0.91% <-- (B18 - B19)/(1+B19)
%∆P = -6.14% <-- -DUR*B27
New P = $938.55

6. DURATION(settlement,maturity,coupon,yld,frequency,bas
settlement 2-Jan-09
M
Ct Maturity 2-Jan-19
∑t ×
t =1 (1 + r ) t
coupon
Yield
10%
10%
D= freq 1
P basis 3
DURATION(settlement,maturity,coupon,yld,
6.76
Day count
Basis
<-- Sum of Col E = Duration basis
0 or omitted US (NASD)
30/360
1 Actual/actual
2 Actual/360
3 Actual/365
∆ r 4 European
−D
30/360
P
1 +r

7. ,coupon,yld,frequency,basis)
Settlement is the security's settlement date. The security settlement date is the date after the i
Maturity is the security's maturity date. The maturity date is the date when the security expires
Coupon is the security's annual coupon rate.
Yld is the security's annual yield.
Frequency is the number of coupon payments per year. For annual payments, frequency = 1; fo
Basis is the type of day count basis to use.
ment,maturity,coupon,yld,frequency,basis)
which is what we found above

8. ate is the date after the issue date when the security is traded to the buyer.
when the security expires.
yments, frequency = 1; for semiannual, frequency = 2; for quarterly, frequency = 4.