Equations Newsled Market Value of Hond: - CF Accrued Interest AL- Quoted Bond Price: OP. - V. -Al. Assigned Tasks 1. Develop generic intermediate bond functions that can handle the following tasks Solve for N (number of remaining cash flows in the bond) b. Solve forf-NADYNTD (fraction of coupon payment period that has elapsed already) NAD number of accrued days since last coupon payment NTD=number of total days between last coupon payment and next coupon payment (Ignore holiday and week-end effects wachas "modified business following.") 2. Develop generic bond functions that can cakulate the following and demonstrate your functions are consistent with the Bloomberg screen shot above. Market Value of Hond ($979.228.25) b. Accrued Interest (53.915.75) c. Quoted Bead Price ($975,312.30) 3. Develop a generic functice to compute yield to maturity (on a semi-annual, bond equivalent basis and demonstrate your function is consistent with the Bloomberg screen shot above, 2.535235%) 4. Plot the relationship between yield to maturity (y=0 to 20%) and the Market Value of Bond Overlay a zero coupon bond as well as a 4.5% coupon bond. 5. Plot the relationship between time to maturity (In years = Current to O) and the Market Value of Bond souming the remaining parameters remain the same (eg-yield to maturity). Be sure to make your time steps small (eg, less than one month). Overlay a zero coupon bond as well as 24.5% coupon bond & Repeat 1 and 12 with the following updated information: 12 11/15/2/ Govt Settings 110-00+/110-01 0.741/0.737 BGNE 15:15 No Notes D Yield & Spread 2 Graphs Pricing 4 Description Custom 12 11/15/27 ( 9128283F5 ) Risk Spread 3.63 bp Vs 7y101272112 Price 110-01 99-00 15:15:22 o M.Dur Dur Yield 0.736839 Wst 0.773106 S/A. Risk Wkout 11/15/2027 @ 100.00 Duration Yld G6 Convexity Settle 01/1921. 01/19/21 DV-01 on 1MM Benchmark Risk Risk Hedge Proceeds Hedge Spreads Yield Calculations Invoice 10 G-Sprd -1.6 Street Convention 0.72039 Face 10 I-Sprd -3.7 Equiv l/Yr 0.7381. Principal 13 Basis 23.5 Mmkt (Act/360) Accrued (65 Days) 19 Z-Sprd 22.2 True Yield 0.73630 Total (USD) 19 ASW -2.3 Current Yield 2.045 10 OAS 0.1 After Tax (Inc 40.800 G23.04 ) 0.436236 Issue Price = 97.156. Bond Purchased with Premi.. Yield and Spread Analysis 99 Buy 99 Sell Yields Workout OAS 6.341 6.405 7.004 7.074 0.452 0.459 700 707 6.715 6.790 1,043M 1,042M 1,115M 1.000M 1,100,168.75 4,040.06 1.104.508.81 Equations Newsled Market Value of Hond: - CF Accrued Interest AL- Quoted Bond Price: OP. - V. -Al. Assigned Tasks 1. Develop generic intermediate bond functions that can handle the following tasks Solve for N (number of remaining cash flows in the bond) b. Solve forf-NADYNTD (fraction of coupon payment period that has elapsed already) NAD number of accrued days since last coupon payment NTD=number of total days between last coupon payment and next coupon payment (Ignore holiday and week-end effects wachas "modified business following.") 2. Develop generic bond functions that can cakulate the following and demonstrate your functions are consistent with the Bloomberg screen shot above. Market Value of Hond ($979.228.25) b. Accrued Interest (53.915.75) c. Quoted Bead Price ($975,312.30) 3. Develop a generic functice to compute yield to maturity (on a semi-annual, bond equivalent basis and demonstrate your function is consistent with the Bloomberg screen shot above, 2.535235%) 4. Plot the relationship between yield to maturity (y=0 to 20%) and the Market Value of Bond Overlay a zero coupon bond as well as a 4.5% coupon bond. 5. Plot the relationship between time to maturity (In years = Current to O) and the Market Value of Bond souming the remaining parameters remain the same (eg-yield to maturity). Be sure to make your time steps small (eg, less than one month). Overlay a zero coupon bond as well as 24.5% coupon bond & Repeat 1 and 12 with the following updated information: 12 11/15/2/ Govt Settings 110-00+/110-01 0.741/0.737 BGNE 15:15 No Notes D Yield & Spread 2 Graphs Pricing 4 Description Custom 12 11/15/27 ( 9128283F5 ) Risk Spread 3.63 bp Vs 7y101272112 Price 110-01 99-00 15:15:22 o M.Dur Dur Yield 0.736839 Wst 0.773106 S/A. Risk Wkout 11/15/2027 @ 100.00 Duration Yld G6 Convexity Settle 01/1921. 01/19/21 DV-01 on 1MM Benchmark Risk Risk Hedge Proceeds Hedge Spreads Yield Calculations Invoice 10 G-Sprd -1.6 Street Convention 0.72039 Face 10 I-Sprd -3.7 Equiv l/Yr 0.7381. Principal 13 Basis 23.5 Mmkt (Act/360) Accrued (65 Days) 19 Z-Sprd 22.2 True Yield 0.73630 Total (USD) 19 ASW -2.3 Current Yield 2.045 10 OAS 0.1 After Tax (Inc 40.800 G23.04 ) 0.436236 Issue Price = 97.156. Bond Purchased with Premi.. Yield and Spread Analysis 99 Buy 99 Sell Yields Workout OAS 6.341 6.405 7.004 7.074 0.452 0.459 700 707 6.715 6.790 1,043M 1,042M 1,115M 1.000M 1,100,168.75 4,040.06 1.104.508.81
