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Outline: Bond Pricing Duration and Convexity Immunization The Yield Curve - To price a bond and to determine forward rate Today, a 5-year Treasury Note with a face value of $1,000 and an annual coupon rate of (semi-annual) coupon payments per year and thus has 10 periods until maturity. What is the price of this T-note? Add Spin Buttons to all the input variables to show how a change in input variable affec Calculate the price using both a timeline and a function. Create a graph to show bond price by YTM. Create a graph to show bond price by Calendar time. Inputs Face value $ Time of Maturity Payment frequency Period to maturity 1,000.00 11 2 22 Coupon rate 2.6400% 2640 YTM 2.6270% 2627 Coupon payment Discount rate/period Bond Pricing using timeline Period Time (years) CF's Pv of CF's Bond price Bonding Pricing using Function Bond Price $ 13.20 1.3135% 0 0 $ $ $ 122.94 $1,001.23 1 0.5 13.20 $ 13.03 $ 2 1 13.20 12.86 YTM Bond Price by YTM 1% 2% 3% 4% 5% 6% 7% 8% 9% 10% Bond Price by calender time Calender time Bond Price $ $ $ $ $ $ $ $ $ $ $ 122.94 128.44 125.02 121.73 118.57 115.53 112.60 109.78 107.06 104.45 101.93 Time to Maturity 0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5 11 10.5 10 9.5 9 8.5 8 7.5 7 6.5 6 140 120 100 80 60 40 20 0 0 0.2 Period to Maturity 22 21 20 19 18 17 16 15 14 13 12 an annual coupon rate of 2.625% has a Yield to Maturity (YTM) of 2.627%. This bond makes 2 ds until maturity. nge in input variable affects bond price. $ $ 3 ...
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Just what I was looking for! Super helpful.

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