ref dt 13-Jul-11 coupon rt 9.

40% semi
maturity date 11-Nov-17 y 9.16% semi 13-Jul-17
121

For AI,take the days from last coupon payment.

For PV calculation,i.e. discounting back,take the no of days until the next coupon payment.
If going by 360 degree convention,we take AI as per coupon rate as mentioned(no need to divide)

Time from next pmt Coupon PV(as on Ref Date)

0.183 104.7 102.9949 Nov-11 Quoted Price=Clean Price
0.683 4.7 4.421 QP/CP+AI=DP
1.183 4.7 4.227
1.683 4.7 4.042 9.16 2.900667
2.183 4.7 3.865
2.683 4.7 3.696 100.0942
3.183 4.7 3.534
3.683 4.7 3.379
4.183 4.7 3.231
4.683 4.7 3.090
5.183 4.7 2.954
5.683 4.7 2.825
6.183 104.7 60.177 Nov-17 Maturity Date

Dirty sum 202.438

AI 1.6188888889
Clean dif 200.8189
 4.7

ce=Clean Price 104.65

9.6350365

4.652 0.294164
ref dt 1-Oct-11 coupon rt 4.00% semi
maturity date 11-Nov-17 y 10.00% semi 13-Jul-17
A bond pays 4% coupon (semi-annual frequency on January 1 and July 1) . 121
The maturity date is January 1, 2012. What would be the dirty price of the bond on October 1, 2011 if the yield on that da
For AI,take the days from last coupon payment.
For PV calculation,i.e. discounting back,take the no of days until the next coupon payment.
If going by 360 degree convention,we take AI as per coupon rate as mentioned(no need to divide)
No time convention followed: take 3 months as 0.25Y
Time from next pmt Coupon PV(as on Ref Date)
0.250 102 99.5418 Quoted Price=Clean Price
QP/CP+AI=DP
AI Calculation
2 1
Clean Price 98.5418

Dirty sum 99.542

AI 0.6888888889
Clean dif 98.8529
2011 if the yield on that date is 10% (semi-annually compounded)?
ref dt 13-Jul-11 coupon rt 8.21% semi
maturity date 11-Nov-17 y 7.34% semi 13-Jul-17
121

For AI,take the days from last coupon payment.

For PV calculation,i.e. discounting back,take the no of days until the next coupon payment.
If going by 360 degree convention,we take AI as per coupon rate as mentioned(no need to divide)

Time from next pmt Coupon PV(as on Ref Date)

0.328 4.105 4.009 Nov-11 Quoted Price=Clean Price
0.828 4.105 3.867 QP/CP+AI=DP
1.328 4.105 3.730
1.828 4.105 3.598
2.328 4.105 3.471
2.828 4.105 3.348
3.328 4.105 3.229
3.828 4.105 3.115
4.328 4.105 3.005
4.828 4.105 2.898
5.328 4.105 2.796
5.828 4.105 2.697
6.328 104.105 65.971 Nov-17 Maturity Date

Dirty sum 105.735

AI 1.4139444444
Clean dif 104.3206
ce=Clean Price
Today 3/7/2018 Interest rate (YTM) Long maturity bonds are more sensitive but coupon matt
Coupon 7.00% 7.00% 7.10% 6.90%
Coupon2 3.00%
Maturity in years Maturity date Price % Fall % Rise % Change
1 3/7/2019 100 99.9051 100.0951 -0.0949% 0.0951% 0.0950%
2 3/7/2020 100 99.8166 100.1839 -0.1834% 0.1839% 0.1837%
3 3/7/2021 100 99.7340 100.2669 -0.2660% 0.2669% 0.2664%
5 3/7/2023 100 99.5852 100.4169 -0.4148% 0.4169% 0.4158%
10 3/7/2028 100 99.2926 100.7138 -0.7074% 0.7138% 0.7106%
9 3/7/2027 73.6206 73.0729 74.1732 -0.7440% 0.7505% 0.7473%

MDURATION is related to weighted average time to maturity, with weights being PV of cash flows from the bond

Year Cash flow PV PV * Year

0.5 1.5 1.4493 0.7246
1 1.5 1.4003 1.4003
1.5 1.5 1.3529 2.0294
2 1.5 1.3072 2.6143
2.5 1.5 1.2630 3.1574
3 1.5 1.2203 3.6608
3.5 1.5 1.1790 4.1265
4 1.5 1.1391 4.5565
4.5 1.5 1.1006 4.9527
5 1.5 1.0634 5.3169
5.5 1.5 1.0274 5.6508
6 1.5 0.9927 5.9560
6.5 1.5 0.9591 6.2342
7 1.5 0.9267 6.4867
7.5 1.5 0.8953 6.7150
8 1.5 0.8651 6.9205
8.5 1.5 0.8358 7.1043
9 101.5 54.6437 491.7929
Price 73.6206 569.3997
Duration 7.7342
M.Duration 7.472697 Modified Duration = Duration/(1 + ytm/2)
s are more sensitive but coupon matters

MDURATION % Change from MDURATION

0.9498 0.0950%
1.8365 0.1837%
2.6643 0.2664%
4.1583 0.4158%
7.1062 0.7106%
7.4727 0.7473%

h flows from the bond

A company pays out 44% of earnings as dividends and earns 15.1% on new investment. Assuming that the firm
1 250
102 0.08456 2.888413
25500
Cash Flow PV
2 15-Mar 15-Sep 4-Nov 1 8 7.33945
50 2 108 90.90144
0.138889 98.24089
1.2500 0.148
99.735 0.08456
100.9850 0.06344

3 250 6.935687

170.4545

4532.602 1100% 214.3347

2.873734 11 1.114621 1.242381

ent. Assuming that the firm is growing at a steady state and the constant dividend growth model applies, what is the forward

Cash flow x t
7.33945
181.8029
189.1423
1.925291 +140 after one year, -80 after two years and +230 after three years
1.766322
130.597
-69.6146
4.31 186.6996
4.155218 247.6820

7000

0.114949
100 11.49494 208.3333
pplies, what is the forward price earnings (P/E) multiple to two decimal places if the shareholders require a return of 14.8%?
require a return of 14.8%?
Exercise Date 10/1/2011 7/13/2011 Days between
Coupon Date-1 1/1/2011 11/11/2011 118
Coupon Date-2 7/1/2011
Step 1
Bond Valuation t CF
Nov-11 0.3278 4.105
May-12 0.8278 4.105
Nov-12 1.3278 4.105
May-13 1.8278 4.105
Nov-13 2.3278 4.105
May-14 2.8278 4.105
Nov-14 3.3278 4.105
May-15 3.8278 4.105
Nov-15 4.3278 4.105
May-16 4.8278 4.105
Nov-16 5.3278 4.105
May-17 5.8278 4.105
Nov-17 6.3278 104.105
 8.21% bond maturiing on 11 November 2017 if the yield on that date is 7.3408%

7.34%
Step 2
PV on (13/7/2011)
4.0091341388 1.413944
3.867192698
3.7302766248
3.5982079984
3.4708151974
3.3479326765
3.2294007513
3.1150653912
3.0047780188
2.898395317
2.7957790431
2.6967958482
65.970795917
105.73456962
104.3206
A bond pays 4% coupon (semi-annual frequency on January 1 and July 1) .
The maturity date is January 1, 2012. What would be the dirty price of the bond on October 1, 2011 if the yield on that date is
, 2011 if the yield on that date is 10% (semi-annually compounded)?