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sample_excel_sol_chapter_20

# sample_excel_sol_chapter_20 - 11.00 Probability of rate in...

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Chapter 20 Problems 1-10 Input boxes in tan Output boxes in yellow Given data in blue Calculations in red Answers in green NOTE: Some functions used in these spreadsheets may require that the "Analysis ToolPak" or "Solver Add-in" be installed in Excel. To install these, click on "Tools|Add-Ins" and select "Analysis ToolPak and "Solver Add-In."

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Chapter 20 Question 1 Input area: Dirty price \$1,140.00 Coupon rate 7.2% Months to next maturity 5 Par value \$1,000 Output area: Accrued interest \$6.00 Clean price \$1,134.00

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Chapter 20 Question 3 Input area: Coupon rate 12.00% Maturity (years) 30 One-year interest rate 11.00% Probability of rate in one year 50% Rate in one year 14% Probability of rate in one year 50% Rate in one year 7% Output area: Price in one year: If interest rates are 14% Price \$859.97 If interest rates are 7% Price \$1,617.16 Price today \$1,112.79
Chapter 20 Question 5 Input area: Call price \$1,250 One year interest rates

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Unformatted text preview: 11.00% Probability of rate in one year 60% Rate in one year 13% Probability of rate in one year 40% Rate in one year 9% Output area: Coupon payment \$108.63 Coupon rate 10.86% Chapter 20 Question 7 Input area: Face value of debt \$250,000,000 Coupon rate 8% Refunding costs 12% Tax rate 35% Output area: Aftertax cost of refunding \$19,500,000 Refund at rates below 7.42% Chapter 20 Question 9 Input area: Coupon rate of Bond 1 6.50% Coupon rate of Bond 2 8.25% Coupon rate of Bond 3 12.00% Price of Bond 1 \$106.37500 Price of Bond 2 \$103.50000 Price of Bond 3 \$134.96875 Par value \$1,000 Output area: Bond 2 coupon = Bond 1 coupon X r + Bond 3 coupon X (1 - r) r = (Bond 2 coupon - Bond 3 coupon) / (Bond 3 coupon - Bond 1 coupon) = Implied value of callable bond = \$115.47 Implied value of call option = \$119.73 0.68182...
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sample_excel_sol_chapter_20 - 11.00 Probability of rate in...

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