Filetype Excel XLS | Posted on 08 Aug 2022 | 3 years ago
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386x Filetype XLS File size 0.05 MB Source: pages.stern.nyu.edu
Sheet 1: Bond Yield Calculations
| Bond Yield Calculations | ||||||||||||||||||||
| (Citicorp 7-1/8, settles 6/16/95, matures 3/15/04) | ||||||||||||||||||||
| quote = | 101.255 | |||||||||||||||||||
| n = | 18 | |||||||||||||||||||
| coupon rate = | 7.125 | |||||||||||||||||||
| coupon freq = | 2 | |||||||||||||||||||
| coupon = | 3.5625 | |||||||||||||||||||
| u = | 91 | |||||||||||||||||||
| v = | 89 | |||||||||||||||||||
| w = | 0.494444444444444 | |||||||||||||||||||
| accint = | 1.80104166666667 | |||||||||||||||||||
| invoice = | 103.056041666667 | |||||||||||||||||||
| Yield Calculation: Manual Method | ||||||||||||||||||||
| y = | 6.928949 | <== vary this until b15 equals b10 | ||||||||||||||||||
| d = | 0.966515323092855 | |||||||||||||||||||
| formula = | 103.055998435956 | |||||||||||||||||||
| Yield Calculation: Automatic Method (using Solver under Tools) | ||||||||||||||||||||
| d = | 0.966515323553951 | <== have Solver choose this cell until b19 equals invoice price (enter number) | ||||||||||||||||||
| formula = | 103.055999080809 | (Goal Seek works, too) | ||||||||||||||||||
| yield = | 6.9289489012804 | |||||||||||||||||||
| DV01 Calculations | ||||||||||||||||||||
| y + .01 = | 6.9389489012804 | |||||||||||||||||||
| new d = | 0.966468618217489 | |||||||||||||||||||
| new p = | 102.99070391817 | |||||||||||||||||||
| DV01 = | 0.065337748496546 | |||||||||||||||||||
| Duration Calculations | ||||||||||||||||||||
| period (j) | 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 | 10 | 11 | 12 | 13 | 14 | 15 | 16 | 17 | 18 | ||
| weight (wj) | 0.033991314611669 | 0.032853126439922 | 0.03175305013084 | 0.030689809521034 | 0.029662171179031 | 0.028668942974414 | 0.027708972694865 | 0.026781146709525 | 0.025884388677103 | 0.025017658297246 | 0.024179950103725 | 0.02337029229802 | 0.022587745621971 | 0.021831402268174 | 0.021100384826861 | 0.020393845268046 | 0.019710963957755 | 0.553814421189703 | check sum: | 0.999999586769902 |
| product (j*wj) | 0.016806816669103 | 0.049097172290772 | 0.079206219493039 | 0.107243834381834 | 0.133314980465755 | 0.157519914453861 | 0.17995438377943 | 0.200709816173053 | 0.219873501596054 | 0.237528766833297 | 0.25375514303298 | 0.26862852647002 | 0.282221332798963 | 0.294602645052191 | 0.305838355629329 | 0.315991302514335 | 0.325121399947632 | 9.68867562403542 | ||
| Duration = | 6.33845085729129 | |||||||||||||||||||
| Duration Calculations: Formula | ||||||||||||||||||||
| D = | 6.33845347653104 | (make sure the d is right in b19) | ||||||||||||||||||
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