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Assume that you get the following information for the two bonds from Wall Street Journal on October 15, 2009 and they mature on October 15:
Assume that you get the following information for the two bonds from Wall Street Journal on October 15, 2009 and they mature on October 15: GE 83/8 due 2039 102.71 (current price) Wyeth 5% due 2019 99.08 a) Calculate the yield to maturity (YTM) for each of the two bonds in cells B10 (GE) and B11 (Wyeth). b) Calculate the modified duration for each of the two bonds (C10: GE; C11: Wyeth). For the modified duration, you may use any Excel function except a function with Duration or "Mduration" in its name. c) Calculate the modified duration for a portfolio composed of an equally weighted combination of the two bonds (C12). B D E F. 1 Input Bond Information (Highlighted in Green) 2 Coupon (%) Maturity (Years) Current Price Weight 3 Bond 4 GE 5 Wyeth 6 Face Value 1000 1000 7 Output (Highlighted in Pink) 8 YTM Modified Duration 9 Bond 10 GE 11 Wyeth 12 Portfolio 13 Assume that you get the following information for the two bonds from Wall Street Journal on October 15, 2009 and they mature on October 15: GE 83/8 due 2039 102.71 (current price) Wyeth 5% due 2019 99.08 a) Calculate the yield to maturity (YTM) for each of the two bonds in cells B10 (GE) and B11 (Wyeth). b) Calculate the modified duration for each of the two bonds (C10: GE; C11: Wyeth). For the modified duration, you may use any Excel function except a function with Duration or "Mduration" in its name. c) Calculate the modified duration for a portfolio composed of an equally weighted combination of the two bonds (C12). B D E F. 1 Input Bond Information (Highlighted in Green) 2 Coupon (%) Maturity (Years) Current Price Weight 3 Bond 4 GE 5 Wyeth 6 Face Value 1000 1000 7 Output (Highlighted in Pink) 8 YTM Modified Duration 9 Bond 10 GE 11 Wyeth 12 Portfolio 13
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