Bond Duration and Bond Sensitivity Analyses Name: Kingdy Septembre ID Class: Corporate Finance Section FIN 3403-301 Consider the following information of a bond: Market Price (PV) - $ Coupon Rate Maturity years Payment Frequency (M) semi-Annual Compute: (1. Show computations. 2. Do not type this assignment) 1) YTM % 2) Duration Years 3) Modified Duration Years 4) Change in price Amount (S) 5) Percentage change in price N PVCF CF/1 YTM PMT CF PVCF-N Probability (PVCF/Price) Semua (Probability - PMT) Duration Probability ) o M 1. Compute YTM FV PV PMT - Coupon Rate * FW/M N"M OPTI(YIM) - Semi-Annual YTM Annual YTM = Semi-Annual *2 = 2. Compute Duration A. Annual Duration from table) B. Annual Duration (Sum of PVCFN)/(Sum of PVCF) C Semi Duration (Annual Duration /2) 3. Compute Modified Duration (MD) a. Annual MD Annual Duration /(1+YTM) B. Semi-Annual MD Annual Duration /1+ (YTM/2) 4. Change in Price (150 basis point increase in interest rate) Beginning. Price Ending Price FV FY = PV (Price CPT PV (Price) PMT = PMT N N YTM a) Change in Price - Ending Price - Beginning Price - b) Percentage change in price = (Change in Price/Beginning Price) 100 Download Dinto ZOOM + 1000 Face Value Market Price Coupon Rate Maturity Payment Frequency Payment Interest/Yield-to- Maturity $1,000 5960 8.6000 5 2 43.0000 1000 1876279 100% 10 2 03 8.6000 4.8133 10481 9.6266 1.0963 10.6264 1 2 3 7 N 1 2 3 4 5 6 7 8 9 PMT -0.5 -1 -1.5 -2 -2.5 CF 43.0000 43.0000 43.0000 43.0000 43.0000 43.0000 43.0000 43.0000 43.0000 1043.0000 CF N 43.0000 86.0000 129.0000 172.0000 215.0000 258.0000 301.0000 344.0000 387.0000 10430.0000 PVIF 0.9541 0.9103 0.8685 0.8286 0.7905 0.7542 0.7196 0.6865 0.6550 0.6249 PVCF PVCF 410253 41.0253 39.1413 39.1413 37.3439 37.3439 356289 356289 33.9928 33.9928 32.4317 32.4317 30.9424 30.9424 29.5214 29.5214 28.1657 28.1657 651.8090 651.8090 960.0025 960.0025 Duration Modified Duration PVCF'N 41.0253 78 2827 1120316 1425158 169.9638 1945904 216.5966 236.1714 253.4915 6518 0901 7962.7592 82945 7.57 pvcf/pv 0.0427 0.0408 0.0389 0.0371 0.0354 0.0338 0.0122 0.0308 0.0293 0.6790 1.0000 10 Duration Dpvcf/pv "Pmt Dupvet/pv 'N 0.0214 0.0477 0.0008 0.0583 0.1167 -0.010 0.15 DORS 0.1770 0.1013 02027 0.1126 0 1230 0.2460 0.11.20 67897 2.25 10 $950 CHG Price CHG 151960 20.4206