Scribd Logo
Upload

Welcome to Scribd!

  • 395 views

    Tugas Obligasi

    Uploaded by

    wahdah ulin nafisah
    -2.57 x 0.005 = -0.01285 = -1.285% c. The dollar price change if the yield changes 0.50 percent. Approximate price change = Price x -D x yield change

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd

    Tugas Obligasi

    Uploaded by

    wahdah ulin nafisah
    395 views15 pages
    -2.57 x 0.005 = -0.01285 = -1.285% c. The dollar price change if the yield changes 0.50 percent. Approximate price change = Price x -D x yield change

    Original Title

    tugas obligasi

    Copyright

    © © All Rights Reserved

    Available Formats

    XLSX, PDF, TXT or read online from Scribd

    Did you find this document useful?

    Is this content inappropriate?

    -2.57 x 0.005 = -0.01285 = -1.285% c. The dollar price change if the yield changes 0.50 percent. Approximate price change = Price x -D x yield change

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Download as xlsx, pdf, or txt
    395 views15 pages

    Tugas Obligasi

    Uploaded by

    wahdah ulin nafisah
    -2.57 x 0.005 = -0.01285 = -1.285% c. The dollar price change if the yield changes 0.50 percent. Approximate price change = Price x -D x yield change

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Download as xlsx, pdf, or txt
    of 15

    17.2 The YTM on a 10 percent, 15-year bond is 12 percent. Calculate the price of the bond.

    YTM = 10%
    n= 15
    rate = 12%

    Bond price = $862.35


    17.3 Calculate the YTM for a 10-year zero-coupon bond sold at $400. Recalculate the YTM if the
    bond had been priced at $300.

    For a zero coupon bond sold 400


    r = (FV/P)^1/20-1
    r= 4.6880% semiannually
    r= 9.3760% annually

    YTM = 9.376%

    For a zero coupon bond sold 300


    r = (FV/P)^1/20-1
    r= 6.2047% semiannually
    r = 12.4095% annually

    YTM= 12.409%
    17.4 Calculate the realized compound yield for a 10 percent bond with 20 years to maturity and an
    expected reinvestment rate of 8 percent.

    Realized Compound Yield = [Total Future dollars / purchase price of bond]½ⁿ-1


    = [($95,026)($50)+$1.000)/$1.000]^1/2*20-1
    = 5.751 ^0,025-1
    = 1.0447 - 1
    = 0.0447 4.47%

    Semiannually = 4.47%
    Annually= 0.0894123 8.941%

    Nb :
    This problem is based on table 17-1
    Total future dollars = Total return in $ + Purchase price
    4751.3 + 1000
    Purchase price = 1000 (sum of annuity for 40 periods, 8% reinvestment , $50 semiannual
    Total return = coupons or 95,026 [$50] = $4751 where 95,026 is the sum of the annuity
    maturity and an

    of bond]½ⁿ-1

    8% reinvestment , $50 semiannual


    re 95,026 is the sum of the annuity factor for 40 periods, 4%
    17.5 A 7% coupon bond has five years remaining to maturity. It is priced to yield 8%. What is its
    current price?

    Harga jual = PV(pokok) + PVA(bunga)


    Harga jual = 1,000(1,08)^-5+70((1-(1,08)^-5)/0,08)
    Harga jual = 680.583197 + 279.489703
    Harga jual = 960.0729
    The yield to maturity on a bond can be calculated using the IRR function. Enter the bond price
    as a negative number, and the coupons (on a semiannual basis) and maturity value as cash
    flows. Use the spreadsheet formula = IRR (Ai:An) where n is the last cell with a cash flow.
    Calculate, using the spreadsheet, the ytm for a six-year, 7 percent coupon bond currently
    selling for $949.75.

    Years 0 -949.75 Price $ 949.75


    Years 1 $ 35 Coupon rate 7%
    Years 2 $ 35 Maturity Date 11/23/2026
    Years 3 $ 35 Settlement Date 11/23/2020
    Years 4 $ 35 Per Value $ 1,000
    Years 5 $ 35 Coupon interest $ 35
    Years 6 $ 1,035

    IRR 4.473%

    YTM 4.473% SEMIANNUALLY

    YTM 8.947% ANNUALLY


    Using the spreadsheet, calculate the yield to call for a 6 percent, 12-year bond callable in five
    years at a call price of $1,040.

    Price $ 1,040.00 Yield to Call


    Coupon rate 6% Date
    Maturity Date 11/23/2032 11/23/2020
    Date of first call 11/23/2025 11/23/2021
    Settlement Date 11/23/2020 1/7/2015
    7/7/2015
    Par value $ 1,000.00 1/7/2016
    Coupon Interest $ 30.00 7/7/2016
    Last Coupon payment 11/9/2020 1/7/2017
    Next Coupon payment 11/23/2021 7/7/2017
    1/7/2018
    Accrued Interest 300 7/7/2018

    YTC
    callable in five

    Yield to Call
    Cash Flow
    $ -1,340.00
    $ 30.00
    $ 30.00
    $ 30.00
    $ 30.00
    $ 30.00
    $ 30.00
    $ 30.00
    $ 30.00
    $ 1,030.00

    1.38%
    YTM can also be calculated directly in the spreadsheet using the function = YIELD(A1, A2, An)
    where n is the last cell with inputs for the problem. The user inputs settlement date, maturity
    date, coupon rate, current bond price, maturity value (par value), and the number of coupons
    paid per year. You can set the settlement date as the current date, and the maturity date as the
    same month and day in the year of maturity (five years from now, eight years from now, etc.)
    Price is stated as a percentage of par (e.g., 100 =$1,000). The following format solved the
    ytm for the bond in Example 17-3.

    1/1/2007 Settlement date = YEAR (year, month, day)


    1/1/2010 Maturity date = YEAR(year, month, day)
    0.1 Annual coupon rate
    105 Bond price
    100 Face value = par value
    2 Coupon payments per year
    0.08 Yield to maturity
    1 Basis

    YTM = 0.080
    18.1 Determine the point at which duration decreases with maturity for a 4 percent bond with an
    original maturity of 15 years. Use increments in maturity of five years. The market yield on
    this bond is 15 percent.

    15 years
    Particular Date/Value
    Settlement 12/31/2005
    Maturity 12/31/2020
    Coupon 4%
    Yield 15%
    Frequency 1
    Total 8.8148

    20 years
    Particular Date/Value
    Settlement 12/31/2005
    Maturity 12/31/2025
    Coupon 4% The duration has decreased to 8,78809011
    Yield 15% year
    Frequency 1
    Total 9.0398

    25 years
    Particular Date/Value
    Settlement 12/31/2005
    Maturity 12/31/2030
    Coupon 4%
    Yield 15%
    Frequency 1
    Total 8.7881
    ond with an

    has decreased to 8,788090119 on the 25th


    year
    18.2 Consider a 6.5 percent bond with a maturity of 10 years. The price of this bond is $972.50.
    The Macaulay duration is 5.9 years. What is the modified duration for this bond?

    Par value of bond $ 1,000


    Coupon rate (Annual) 6.50%
    Coupon per year 2
    Years to maturity 10
    Current price of bond $ 972.5
    YTM 6.885%

    Maculay duration 5.9


    Modified duration 5.5 D=D/(1+ytm)
    Given a 10 percent, three-year bond with a price of $1,052.24, with a market yield of
    8 percent, calculate its duration using the format illustrated in Table 18-1.

    Par value of bond 1,000


    Bond interest 50 semiannualy assumption

    Table Duration of a Bond

    Period PV of cfs 1/ (1 + Weighted PV of


    Cash Flow Present value CFs (weighted by
    (year) i)^2t
    price)
    0.5 50 0.9615385 48.076923 0.045690
    1 50 0.9245562 46.227811 0.043933
    1.5 50 0.8889964 44.449818 0.042243
    2 50 0.8548042 42.740210 0.040618
    2.5 50 0.8219271 41.096355 0.039056
    3 50 0.7903145 39.515726 0.037554
    3 1000 0.7903145 790.314526 0.751078
    1.000172
    Duration = 2,67 year
    Weighted average
    of time periods

    0.0228450
    0.0439328
    0.0633646
    0.0812366
    0.0976402
    0.1126617
    2.2532346
    2.6749155
    Using the duration from Problem 18-1, determine
    Duration 2.67

    a. The modified duration


    D* = D / (1 + ytm)
    2, 67 / ( 1 +(0,08/2))
    2.57 years

    b. The percentage change in the price of the bond if r changes 0.50 percent.
    Approximate price change = -D x yield change
    - 2,57 x 0,0050 x 100%
    1.285%

    You might also like