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Chapter 4
Chapter 4
Chapter 4
2
Calculate the requested measures for bonds A and B (assume that each bond pays interest
semiannually):
A B
Coupon 8% 9%
Yield to maturity 8% 8%
Maturity (years) 2 5
Par $100,00 $100,00
Price $100,00 $104,055
1
1− 100
(1 + 0,04005)4
𝑃 = 4[ ]+
0,04005 (1 + 0,04005)4
𝑃 = 14,5179 + 85,4640
𝑃 = $99,9819
Price Value of a basis point Bond A adalah:
100 − 99,9819 = $0,0181
Bond B
0,09
𝐶= × 100 = $4,5
2
0,0801
𝑟 = 8,01% ≈ = 0,04005
2
𝑛 = 2 × (5) = 10
1
1− 𝑀
(1 + 𝑟)𝑛
𝑃 = 𝐶[ ]+
𝑟 (1 + 𝑟)𝑛
1
1− 100
(1 + 0,04005)10
𝑃 = 4,5 [ ]+
0,04005 (1 + 0,04005)10
𝑃 = 36,4899 + 67,5239
𝑃 = 104,0138
Price Value of a basis point Bond B adalah:
104,055 − 104,0138 = $0,0412
b dan c. Macaulay duration dan Modified duration
Bond A
𝐶 = $4
𝑛=4
𝑟 = 0,04
𝑃 = $100
𝑀 = $100
Periode, t Cash Flow PV of $1 at 4% PV of CF t × PVCF
1 4 0,9615 3,8462 3,8462
2 4 0,9246 3,6982 7,3964
3 4 0,8890 3,5560 10,6680
4 104 0,8548 88,8996 355,5985
100 377,5091
377,5091
𝑀𝑎𝑐𝑎𝑢𝑙𝑎𝑦 𝐷𝑢𝑟𝑎𝑡𝑖𝑜𝑛 (ℎ𝑎𝑙𝑓 𝑦𝑒𝑎𝑟𝑠) = = 3,7751
100
3,7751
𝑀𝑎𝑐𝑎𝑢𝑙𝑎𝑦 𝐷𝑢𝑟𝑎𝑡𝑖𝑜𝑛 (𝑦𝑒𝑎𝑟𝑠) = = 1,8875
2
1,8875
𝑀𝑜𝑑𝑖𝑓𝑖𝑒𝑑 𝐷𝑢𝑟𝑎𝑡𝑖𝑜𝑛 = = 1,8149
1,04
Bond B
𝐶 = $4,5
𝑛 = 10
𝑟 = 0,04
𝑃 = $104,55
𝑀 = $100
Periode, t Cash Flow PV of $1 at 4% PV of CF t × PVCF
1 4,5 0,9615 4,3269 4,3269
2 4,5 0,9246 4,1605 8,3210
3 4,5 0,8890 4,0005 12,0015
4 4,5 0,8548 3,8466 15,3865
5 4,5 0,8219 3,6987 18,4934
6 4,5 0,7903 3,5564 21,3385
7 4,5 0,7599 3,4196 23,9374
8 4,5 0,7307 3,2881 26,3048
9 4,5 0,7026 3,1616 28,4548
10 104,5 0,6756 70,5965 705,9646
104,0554 864,5293
864,5293
𝑀𝑎𝑐𝑎𝑢𝑙𝑎𝑦 𝐷𝑢𝑟𝑎𝑡𝑖𝑜𝑛 (ℎ𝑎𝑙𝑓 𝑦𝑒𝑎𝑟𝑠) = = 8,3084
104,0554
8,3084
𝑀𝑎𝑐𝑎𝑢𝑙𝑎𝑦 𝐷𝑢𝑟𝑎𝑡𝑖𝑜𝑛 (𝑦𝑒𝑎𝑟𝑠) = = 4,1542
2
4,1542
𝑀𝑜𝑑𝑖𝑓𝑖𝑒𝑑 𝐷𝑢𝑟𝑎𝑡𝑖𝑜𝑛 = = 3,9944
1,04
d. The approximate duration using the shortcut formula by changing yields by 20 basis points
and compare your answer with the convexity measure calculated in part c.
𝑟 = 8%
𝑟+ = 8,2%
𝑟− = 7,8%
𝑃0 = $100; $104,055
𝐶 = $4; $4,5
∆𝑦 = 0,002
𝑀 = 100
Bond A
1
1− 𝑀
(1 + 𝑟+ )𝑛
𝑃+ = 𝐶 [ ]+
𝑟+ (1 + 𝑟+ )𝑛
1
1− 100
(1 + 0,041)4
𝑃+ = 4 [ ]+
0,041 (1 + 0,041)4
𝑃+ = 14,4854 + 85,1524
𝑃+ = 99,6378
1
1− 𝑀
(1 + 𝑟− )𝑛
𝑃− = 𝐶 [ ]+
𝑟− (1 + 𝑟− )𝑛
1
1− 100
(1 + 0,039)4
𝑃− = 4 [ ]+
0,039 (1 + 0,039)4
𝑃− = 14,5539 + 85,8099
𝑃− = 100,3639
𝑃− − 𝑃+
𝐴𝑝𝑝𝑟𝑜𝑥𝑖𝑚𝑎𝑡𝑒 𝐷𝑢𝑟𝑎𝑡𝑖𝑜𝑛 (𝑌𝑒𝑎𝑟𝑠) =
2(𝑃0 )(∆𝑦 )
100,3639 − 99,6378
𝐴𝑝𝑝𝑟𝑜𝑥𝑖𝑚𝑎𝑡𝑒 𝐷𝑢𝑟𝑎𝑡𝑖𝑜𝑛 (𝑌𝑒𝑎𝑟𝑠) =
2(100)(0,002)
𝐴𝑝𝑝𝑟𝑜𝑥𝑖𝑚𝑎𝑡𝑒 𝐷𝑢𝑟𝑎𝑡𝑖𝑜𝑛 (𝑌𝑒𝑎𝑟𝑠) = 1,8152
Bond B
1
1− 𝑀
(1 + 𝑟+ )𝑛
𝑃+ = 𝐶 [ ]+
𝑟+ (1 + 𝑟+ )𝑛
1
1− 100
(1 + 0,041)10
𝑃+ = 4,5 [ ]+
0,041 (1 + 0,041)4
𝑃+ = 36,3180 + 66,9103
𝑃+ = 103,2283
1
1− 𝑀
(1 + 𝑟− )𝑛
𝑃− = 𝐶 [ ]+
𝑟− (1 + 𝑟− )𝑛
1
1− 100
(1 + 0,039)10
𝑃− = 4,5 [ ]+
0,039 (1 + 0,039)10
𝑃− = 36,6814 + 68,2094
𝑃− = 104,8908
𝑃− − 𝑃+
𝐴𝑝𝑝𝑟𝑜𝑥𝑖𝑚𝑎𝑡𝑒 𝐷𝑢𝑟𝑎𝑡𝑖𝑜𝑛 (𝑌𝑒𝑎𝑟𝑠) =
2(𝑃0 )(∆𝑦 )
104,8908 − 103,2283
𝐴𝑝𝑝𝑟𝑜𝑥𝑖𝑚𝑎𝑡𝑒 𝐷𝑢𝑟𝑎𝑡𝑖𝑜𝑛 (𝑌𝑒𝑎𝑟𝑠) =
2($104,055 )(0,002)
𝐴𝑝𝑝𝑟𝑜𝑥𝑖𝑚𝑎𝑡𝑒 𝐷𝑢𝑟𝑎𝑡𝑖𝑜𝑛 (𝑌𝑒𝑎𝑟𝑠) = 3,9943
e. Convexity measure
Bond A
𝐶 = $4
𝑛=4
𝑟 = 0,04
𝑃 = $100
𝑀 = $100
Periode, t Cash Flow 1 𝑡(𝑡 + 1)𝐶𝐹 𝑡(𝑡 + 1)𝐶𝐹
(1,04)𝑡+2 (1,04)𝑡+2
1 4 2,9615 8 7,1120
2 4 2,9246 24 20,5153
3 4 2,8890 48 39,4525
4 104 2,8548 2.080 1643,8542
2.160 1.710,9340
𝑆𝑒𝑐𝑜𝑛𝑑 𝐷𝑒𝑟𝑖𝑣𝑎𝑡𝑖𝑣𝑒 = 1.710,9340
1.710,9340
𝐶𝑜𝑛𝑣𝑒𝑥𝑖𝑡𝑦 𝑀𝑒𝑎𝑠𝑢𝑟𝑒 (ℎ𝑎𝑙𝑓 𝑦𝑒𝑎𝑟𝑠) = = 17,1093
100
17,1093
𝐶𝑜𝑛𝑣𝑒𝑥𝑖𝑡𝑦 𝑀𝑒𝑎𝑠𝑢𝑟𝑒 (𝑦𝑒𝑎𝑟𝑠) = = 4,2773
4
𝐷𝑜𝑙𝑙𝑎𝑟 𝐶𝑜𝑛𝑣𝑒𝑥𝑖𝑡𝑦 𝑀𝑒𝑎𝑠𝑢𝑟𝑒 = 4,2773 × 100 = $427,73
Bond B
𝐶 = $4,5
𝑛 = 10
𝑟 = 0,04
𝑃 = $104,55
𝑀 = $100
Periode, t Cash Flow 1 𝑡(𝑡 + 1)𝐶𝐹 𝑡(𝑡 + 1)𝐶𝐹
(1,04)𝑡+2 (1,04)𝑡+2
1 4,5 0,8890 9 8,0010
2 4,5 0,8548 27 23,0797
3 4,5 0,8219 54 44,3841
4 4,5 0,7903 90 71,1283
5 4,5 0,7599 135 102,5889
6 4,5 0,7307 189 138,1004
7 4,5 0,7026 252 177,0519
8 4,5 0,6756 324 218,8828
9 4,5 0,6496 405 263,0803
10 104,5 0,6246 11.495 7.179,7431
12.980 8.226,0404
𝑆𝑒𝑐𝑜𝑛𝑑 𝐷𝑒𝑟𝑖𝑣𝑎𝑡𝑖𝑣𝑒 = 8.226,0404
8.226,0404
𝐶𝑜𝑛𝑣𝑒𝑥𝑖𝑡𝑦 𝑀𝑒𝑎𝑠𝑢𝑟𝑒 (ℎ𝑎𝑙𝑓 𝑦𝑒𝑎𝑟𝑠) = = 79,0547
104,055
79,0547
𝐶𝑜𝑛𝑣𝑒𝑥𝑖𝑡𝑦 𝑀𝑒𝑎𝑠𝑢𝑟𝑒 (𝑦𝑒𝑎𝑟𝑠) = = 19,7637
4
𝐷𝑜𝑙𝑙𝑎𝑟 𝐶𝑜𝑛𝑣𝑒𝑥𝑖𝑡𝑦 𝑀𝑒𝑎𝑠𝑢𝑟𝑒 = 19,7637 × 104,055 = $2.056,5118
f. The approximate convexity measure using the shortcut formula by changing yields by 20
basis points and compare your answer to the convexity measure calculated in part e
Mengambil hasil perihitungan poin d maka diketahui:
𝑟 = 8%
𝑟+ = 8,2%
𝑟− = 7,8%
𝑃0 = $100; $104,055
𝐶 = $4; $4,5
∆𝑦 = 0,002
𝑀 = 100
𝑃+ = 99,6378; 103,2283
𝑃− = 100,3639; 104,8908
Bond A
𝑃+ + 𝑃− − 2𝑃0
𝐴𝑝𝑝𝑟𝑜𝑥𝑖𝑚𝑎𝑡𝑒 𝐶𝑜𝑛𝑣𝑒𝑥𝑖𝑡𝑦 =
(𝑃0 )(∆𝑦 )2
99,6378 + 100,3639 − 2(100)
𝐴𝑝𝑝𝑟𝑜𝑥𝑖𝑚𝑎𝑡𝑒 𝐶𝑜𝑛𝑣𝑒𝑥𝑖𝑡𝑦 =
100(0,002)2
𝐴𝑝𝑝𝑟𝑜𝑥𝑖𝑚𝑎𝑡𝑒 𝐶𝑜𝑛𝑣𝑒𝑥𝑖𝑡𝑦 = 4,27
Bond B
𝑃+ + 𝑃− − 2𝑃0
𝐴𝑝𝑝𝑟𝑜𝑥𝑖𝑚𝑎𝑡𝑒 𝐶𝑜𝑛𝑣𝑒𝑥𝑖𝑡𝑦 =
(𝑃0 )(∆𝑦 )2
103,2283 + 104,8908 − 2(104,055)
𝐴𝑝𝑝𝑟𝑜𝑥𝑖𝑚𝑎𝑡𝑒 𝐶𝑜𝑛𝑣𝑒𝑥𝑖𝑡𝑦 =
104,055(0,002)2
𝐴𝑝𝑝𝑟𝑜𝑥𝑖𝑚𝑎𝑡𝑒 𝐶𝑜𝑛𝑣𝑒𝑥𝑖𝑡𝑦 = 19,76
Chapter 4 No. 3
Can you tell from the following information which of the following three bonds will have the
greatest price volatility, assuming that each is trading to offer the same yield to maturity?