Chapter 21 - UN-16CPage 1BASIC IMMUNIZATION EXAMPLE WITH 3...

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Unformatted text preview: UN-16CPage 1BASIC IMMUNIZATION EXAMPLE WITH 3 BONDSYield to maturity6%Bond 1Bond 2Bond 3Coupon rate6.70%6.988%5.90%Maturity101530Face value1,0001,0001,000Bond price$1,051.52 $1,095.96 $986.24 Face value equal to $1,000 of market value$951.00 $912.44 $1,013.96 Duration#MACRO?#MACRO?#MACRO?=dduration(B7,B6,$B$3,1)New yield to maturity6%Bond 1Bond 2Bond 3Bond price$1,000.00 $1,041.62 $988.53 <-- =-PV($B$19,D7-10,D6*D8)+D8/(1+$B$19)^(D7-10)Reinvested coupons$883.11 $921.07 $777.67 <-- =-FV($B$19,10,D6*D8)Total$1,883.11 $1,962.69 $1,766.20 Multiply by percent of face value bought95.10%91.24%101.40%Product$1,790.85 $1,790.85 $1,790.85 data tableBond 1Bond 2Bond 30%$1,588.18 $1,868.87 $2,808.66 1%$1,617.63 $1,844.71 $2,536.42 2%$1,648.69 $1,825.14 $2,315.61 3%$1,681.45 $1,810.05 $2,137.23 4%$1,716.00 $1,799.35 $1,994.02 5%$1,752.43 $1,792.97 $1,880.14 6%$1,790.85 $1,790.85 $1,790.85 7%$1,831.35 $1,792.95 $1,722.34 8%$1,874.05 $1,799.26 $1,671.53 9%$1,919.06 $1,809.76 $1,635.92 10%$1,966.49 $1,824.46 $1,613.46 11%$2,016.48 $1,843.37 $1,602.53 12%$2,069.16 $1,866.53 $1,601.79 13%$2,124.66 $1,893.98 $1,610.17 14%$2,183.12 $1,925.77 $1,626.82 15%$2,244.70 $1,961.98 $1,651.05 ABCDEFGHI1234567891011121314151617181920212223242526272829303132333435363738394041424344454647THE IMMUNIZATION PROBLEMIllustrated for the 30-year bond....
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This note was uploaded on 02/02/2012 for the course BUSINESS 201 taught by Professor Acknan during the Spring '11 term at MIT.

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Chapter 21 - UN-16CPage 1BASIC IMMUNIZATION EXAMPLE WITH 3...

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