Ross, Westerfield, Jaffe, and Jordan's Spreadsheet Master

Corporate Finance, 13th edition

by Brad Jordan and Joe Smolira
Version 13.0

Chapter 8
In these spreadsheets, you will learn how to use the following Excel fu

PRICE
YIELD
DURATION
MDURATION
COUPDAYSNC
ACCRINT
Scroll bars
HLOOKUP

The following conventions are used in these spreadsheets:

1) Given data in blue

2) Calculations in red

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 the File tab
then "Excel Options," "Add-Ins" and select
"Go." Check "Analysis ToolPak" and
"Solver Add-In," then click "OK."
 the following Excel functions:

eadsheets:

equire that
 Chapter 8 - Section 1
Bonds and Bond Valuation

As with any financial instrument, the price of a bond is just the present value of the future cash flows. What is the p
the following characteristics?

Coupon rate 8.00% lãi trái phiếu

Years to maturity 10 số năm đến ngày đáo hạn
Yield to maturity 7.50% xuất sinh lời đến khi đáo hạn
Par value $ 1,000

Since the bond has semiannual payments, the coupon payments will be:

Coupon payments $ 40.00

Now we can find the present value of the coupon payments, the present value of par, and the bond price, which are

Present value of coupon payments $555.85

Present value of par $478.89
Bond price $1,034.74

Of course, we could have entered the coupon payments and par value in the same PV function, making sure that bo

Bond price $1,034.74

Although you can value a bond with the PV function, Excel has numerous functions that calculate bonds prices and m

What is the price of a bond with the following characteristics?

Settlement date 1/1/2020

Maturity date 1/1/2030
Annual coupon rate 7.50%
Yield to maturity 8.40%
Face value (% of par) 100
Face value ($) $ 1,000
Coupons per year 2

Bond price (% of par) 93.991

RWJ Excel Tip

To calculate a bond price, we can use the PRICE function as follows:
The PRICE function uses several arguments we need to explain. Notice, we had to enter 2 dates, a settlement date a
pay for the bond. The maturity date is the date the bond matures. In many bond problems, you may not have these
this case, any 2 dates will work as long as they are the correct number of years apart. In this case, we used January 1
bond since these dates are particularly easy to work with. Rate is the coupon rate of the bond and Yld is the yield to
(face, or par) value of the bond at maturity as a percentage of par. When you read further about bond quotes, bond
uses this convention. Frequency is the number of coupon payments per year. Notice that the value for the bond pric
To return the dollar price, we divide the price calculated by Excel by 100 to convert to a decimal, and then multiply b
function to return a dollar price for the bond.

Dollar price of bond $ 939.91

Settlement Date

Excel uses the settlement date in its bond pricing functions. The settlement date is not the date the bond is purchas
actually made. If you purchase a Treasury bond, you will not actually pay for the bond until the next business day, w
from the date of purchase, the same time frame that is used for stock purchases.

Finding the YTM

You can use the YIELD function in Excel to calculate the yield to maturity of a bond. Suppose we have a bond with th
bond?

Settlement date 1/1/2020

Maturity date 1/1/2035
Annual coupon rate 6.80%
Bond price (% of par) 107.850
Face value (% of par) 100
 Coupons per year 2

Yield to Maturity (YTM) 6.00% 6%

RWJ Excel Tip

To calculate a bond's YTM, we can use the YIELD function as follows:

The YIELD function uses most of the same arguments as the price function. Notice, we had to enter 2 dates, a settlem
the date you pay for the bond. The maturity date is the date the bond matures. In many bond problems, you may no
until maturity. Any 2 dates will work as long as they are the correct number of years apart. In this case, we used Janu
year bond since these dates are particularly easy to work with. Rate is the coupon rate of the bond and Pr is the pric
redemption (face, or par) value of the bond at maturity as a percentage of par. When you read further about bond q
and Excel uses this convention. Frequency is the number of coupon payments per year.
 Macaulay Duration
12

10

Macaulay Duration (Years)

8

0
0 5 10 15 20 25 30
Maturity (Years)
of the future cash flows. What is the price of a bond with semiannual coupon payments and

coupon= face value*coupon rate

m đến ngày đáo hạn yield to maturity (xuất sinh lời đến khi đáo hạn)= rB
inh lời đến khi đáo hạn price bond= C1/(1+r)+C2/(1=r)^2+C3/(1+r)^3+C4/(1+r)^4…

coupon và FV cùng dấu

e of par, and the bond price, which are:

ame PV function, making sure that both were negative. This would give us:

tions that calculate bonds prices and much more. The bond price function in Excel is PRICE.
d to enter 2 dates, a settlement date and a maturity date. The settlement date is the date you
nd problems, you may not have these dates, but rather the number of years until maturity. In
s apart. In this case, we used January 1, 2020 and January 1, 2030 as the dates for a 10-year
ate of the bond and Yld is the yield to maturity of the bond. Redemption is the redemption
ead further about bond quotes, bonds are often quoted as a percentage of par and Excel
Notice that the value for the bond price returned by Excel is the price as a percentage of par.
nvert to a decimal, and then multiply by the dollar face value. Below, we have modified the

te is not the date the bond is purchased, but rather the date the payment for the bond is
he bond until the next business day, while the settlement date for corporate bonds is 2 days
es.

ond. Suppose we have a bond with the following characteristics. What is the YTM of the
 tice, we had to enter 2 dates, a settlement date and a maturity date. The settlement date is
s. In many bond problems, you may not have these dates, but rather the number of years
years apart. In this case, we used January 1, 2020 and January 1, 2035 as the dates for a 15-
pon rate of the bond and Pr is the price of the bond as a percentage of par. Redemption is the
. When you read further about bond quotes, bonds are often quoted as a percentage of par,
per year.
 1/1/2060
40
Err:502

acaulay Duration

15 20 25 30 35 40
Maturity (Years)