Question

Calculate the bond price, duration, actual changes in bond price, and changes in bond price based on duration. Coupons are paid at the end of each year. (Mostly need help with the bottom section)

Maturity, in years	20
YTM	5%
Coupon rate	6%
Face value	1,000
Bond price
Year	Ct	t*Ct/(Price*(1+YTM)^t)
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Duration
Change in YTM	Actual change in bond price	Change in bond price based on duration
0.10%
0.20%
0.30%
0.40%
0.50%
0.60%
0.70%
0.80%
0.90%
1.00%

Answer 1

The Completed table is as shown below

MATURITY IN YEARS	20
YTM	5%
Coupon Rate	6%
Face Value	1000
Bond price	1124.622

Year	Ct	t*Ct/(Price*(1+YTM)^t)
1	60	0.050811
2	60	0.096782
3	60	0.13826
4	60	0.175569
5	60	0.209011
6	60	0.238869
7	60	0.26541
8	60	0.288882
9	60	0.309516
10	60	0.32753
11	60	0.343127
12	60	0.356496
13	60	0.367813
14	60	0.377244
15	60	0.384943
16	60	0.391053
17	60	0.395709
18	60	0.399034
19	60	0.401145
20	1060	7.104659
DURATION		12.62186

Change in YTM	Actual Change in Bond price	Change in Bond price based on Duration
0.10%	-13.4071	-14.1948
0.20%	-26.5936	-28.3897
0.30%	-39.5636	-42.5845
0.40%	-52.3211	-56.7793
0.50%	-64.8702	-70.9741
0.60%	-77.2147	-85.169
0.70%	-89.3584	-99.3638
0.80%	-101.3051	-113.559
0.90%	-113.0585	-127.753
1.00%	-124.6221	-141.948

Actual Change in Bond's price = Bond price with changed YTM - Actual bond price

Change in Bond's price based on duration = Bond price* duration * change in YTM