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Do problems 7 - 10 in Excel. 7. Consider the US 5 3/8 of Feb 2031. This is a US Treasury bond with a 5.375%
Do problems 7 - 10 in Excel. 7. Consider the US 5 3/8 of Feb 2031. This is a US Treasury bond with a 5.375% coupon, maturing on Feb. 15, 2031 and paying half its annual coupon each year on Feb 15 and half on Aug 15 (or the first business day after that, if the date is Saturday, Sunday, or a holiday such as Presidents Day, Feb. 16, 2015). Assume today is the first Wednesday in September of the current year and right now the bond is quoted in the market at a price of 98-14 (Le, 98 and 14/ 32). The first thing you need to do is figure out how many days are in the current coupon period and the amount of interest that accrues each day. a) If you buy this bond at the quoted price for delivery tomorrow, what will the invoice price be per 100 face value (the invoice price is the quoted price plus accrued interest)? 13) Use the built-in Excel spreadsheet function YIELD to calculate the yield to maturity on the bond at this price. c) Suppose the yield to maturity were 1 basis point higher than what you just calculated. How much different would the price be? (Use the built-in Excel function PRICE to do this.) This difference is called the "price equivalent of a basis point" or the "DV01"
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