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[DOC File]University of Kansas
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A three-year bond provides a coupon of 8% semiannually and has a cash price of 104. What is the bond’s yield? The bond pays $4 in 6, 12, 18, 24, and 30 months, and $104 in 36 months. The bond yield is the value of that solves . Using the Goal Seek or Solver tool in Excel or 6.407%. Problem 4.13.
calculate bond value in excel

[DOC File]The Determinants of Bank Loan Pricing
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A primary reason why bond prices are term-sensitive is the bondholder’s exposure to inflation risk. A bank is largely immunized to this risk by having loans with repricing maturities generally similar to those of its deposit and other liabilities. Even if interest rate risk …
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[DOC File]Bond Pricing
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Relationship between bond prices and interest rates. There is an inverse relationship between bond prices and interest rates. As interest rates rise, bond prices fall, and vice versa. For example, let’s take a two-year level-coupon bond paying 10% coupon annually and assume that the current interest rate is 10%. The bond is priced at its face ...
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[DOC File]Convexity Bias in the Pricing of Interest Rate Swaps
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Under the Cox, Ingersoll, and Ross model ((=1/2), the short rate follows a square root process, with the discount bond prices given by, (A.9) where the functions A(x) and B(x) are defined as (A.10) and ( is the market price of risk. The forward rates can be computed from discount bond prices in …
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[DOC File]INFLATION, CASH FLOWS AND DISCOUNT RATES
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To compute a bond’s yield to maturity y using Excel, employ the IRR function; let V (e.g., $92,059,013) be the initial outlay and the be the cash returns on the investment. Interest Rate Changes and Bond Prices . Recall equations (15a) and (15b): V = + + … + + (15a)
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[DOC File]2010 Inter-bank Bond Market Statistical Analysis Annual Report
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the bond prices would . reach a new . peak before starting to decline in the third quarter of 2012. From the view of the yield rate, the spread of 10-year bonds and 2-year bonds rebounded from the bottom since October. The extreme flat curve has be relieved from 18BP to 69BP. Even so, it was still lower than the historical average level at ...
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Bond prices in excel