Bond Valuation

1612 Words Dec 18th, 2011 7 Pages
Assignment no. 1

Fixed Income Securities and Markets

Question A.1
Given the following bond:
|starting date |30/09/2011 |
|maturity date |30/09/2014 |
|coupon rate |4.00% |
|coupon frequency |annual |
|day count |act/act |
|nominal value |100 |

a) Calculate the price of the security on the 30/09/2011, if the yield to maturity is 5% (NB: Price=PV of future cash flows). b) Given the price and the yield to maturity of the bond, calculate the three components of the (expected) total return of this investment (if you invest 100
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Given a coupon of 3.7, accrued period of 68 days and total coupon period of 183 days, the accrued interest at settlement date is equal to:
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