ch19_23.xls - Bond Calculations Time 0.5 1 1.5 2 2.5 3 Cash Flow 3.5 3.5 3.5 3.5 3.5 103.5 Risk-Free PV 3.431373 3.364091 3.298128 3.233459 3.170058

ch19_23.xls - Bond Calculations Time 0.5 1 1.5 2 2.5 3 Cash...

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Bond Calculations Bond Cash Risk-Free Risky Flows Time Cash Flow PV PV 0.5 3.5 3.431373 3.414634 3.5 1 3.5 3.364091 3.33135 3.5 1.5 3.5 3.298128 3.250098 3.5 2 3.5 3.233459 3.170827 3.5 2.5 3.5 3.170058 3.09349 3.5 3 103.5 91.90504 89.24773 103.5 108.4021 105.5081 Time Recovery Risk-Free ($) Value 0.5 45 110.5702 1 45 109.2116 1.5 45 107.8258 2 45 106.4123 2.5 45 104.9706 3 45 103.5000 Probability of Default per six months 0.008311
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PV at Time 0.5 1 1.5 2 2.5 3 3.5700 3.5700 3.6414 3.5700 3.6414 3.7142 3.5700 3.6414 3.7142 3.7885 3.5700 3.6414 3.7142 3.7885 3.8643 105.5700 107.6814 109.8350 112.0317 114.2724 116.5578 123.4200 122.2470 120.9777 119.6088 118.1366 116.5578 Loss Given Discount PV of Default Factor LGD
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