PS_13

Consider the following bond:

annual coupon 5%
maturity 5 year
par value 100
annual compouding frequency
1/ What is its relative price change if its required yield increases from 10% to 11%?
Price 10% 10% 81.05
Price 11% 11% 77.82
Delta P 3.22

2/ What is its relative price change if its required yield increases from 5% to 6%
Price 5% 5% 100.00
Price 6% 6% 95.79
Delta 4.21

3/ What conclusion can you draw from the exercise?

Biến động giá ở MT lãi suất thấp cao hơn biến động giá ở MT lãi suất cao (MT lsuất cao, ảnh hưởng của b
Gía và lãi suất ngược chiều nhau

PS_14
We consider the folling zero-coupon curve
Maturity (y) Zero-coupon rate (%)
1 4%
2 4.50%
3 4.75%
4 4.90%
5 5%

1/ What is the price of a 5-year bond with a $100 face value, which delivers a 5% annual coupon rate
Maturity (y) Zero-coupon rate (%) Coupon Price
1 4% 5 $4.81
2 4.50% 5 $4.58
3 4.75% 5 $4.35
4 4.90% 5 $4.13
5 5% 5 $82.27
$100.136
2/ What is the yield to maturity of this bond? (lợi suất NĐT kiếm đc nếu nắm giữ tới ngày đáo hạn)
100.136 = 5/(1+R) + 5/(1+R)^2 + … + 5/(1+R)^5 + 100/(1+R)^5
--> R = 4.96%

3/ We suppose that the zero-coupon curve increases instantaneously and uniformly by 0.5%. What is the new price
--> Đường cong lợi suất dịch lên 0.5%
Maturity (y) Zero-coupon rate (%)
1 4.5%
2 5.0%
3 5.3%
4 5.4%
 5 5.5%

Maturity (y) Zero-coupon rate (%) Coupon Price

1 4.5% 5 $4.78
2 5.0% 5 $4.54
3 5.3% 5 $4.29
4 5.4% 5 $4.05
5 5.5% 5 $80.34
$97.999
R new = 5.498%
LOSS = $2.137

4/ Suppose now that the zero coupon curve remains stable. You hold to the maturity. What is the rate of your inves
= 5(1+4.9%)^4 + 5*(1+4.75%)^3 + 5*(1+4.5%)^2+5*(1+4%)^1 + 105 = 127.461
100.136 * (1+y)^5 = 127.161 ---> y=4.9%

PS_18
We consider three bonds with the following features
Bond Maturity (y) Annual coupon Price
Bond 1 1 10.00 106.56
Bond 2 2 8.00 106.2
Bond 3 3 8.00 106.45

1/ Find the 1-year, 2-year and 3-year zero-coupon rate from the table above

106.56 = 100 / (1+YTM1) --> YTM1 = 3.23%

106.2 = 8/(1+3.23%) + 108/(1+YTM2) --> YTM2 = 4.74%
106.45 = 8/(1+3.23%)+8/(1+4.74%)+108/(1+YTM3) --> YTM3 = 5.72%

2/ We consider another bond with the following features:

Bond Maturity (y) Annual coupon Price
Bond 4 3 9.00 109.01
Use the zero-coupon curve to price this bond
Price = 9/(1+3.23%) + 9/(1+4.74%)^2 + 9/(1+5.72%)^3 + 100/(1+5.72%)^3 = 109.12

3/ Find an arbitrage strategy, assume the cash flow in year 0 = 0

Mua 4, bán danh mục (1,2,3)

Năm 1 2 3
Phải trả -110
-8 -108
-8 -8 -108
Tổng trả -126 -116 -108
 Nhận 9 x n4 9 x n4 9 x n4
100 x n4
Tổng nhận 9 x n4 9 x n4 9 x n4 + 100 x n4

Tại năm 0, số tiền:

(106.56 + 106.2 + 106.45) -109.01*n4 = 0 --> n4 = 2.928

Năm 1 2 3
Phải trả -110
-8 -108
-8 -8 -108
Tổng trả -126 -116 -108

Nhận 26.352 26.352 26.352

292.8
Tổng nhận 26.352 26.352 319.152

NET -99.648 -89.648 211.152

P = -99.65 / (1+3.23%) - 89.65 / (1+4.74%)^2 + 211.152 / (1+5.72%)^3 = 0.45

Nếu đề bài khác yêu cầu xây dựng chiến lược sao cho dòng tiền năm 3 = 0 thì mình sẽ
cho n4 x 109 - 108 = 0 rồi tính n4, sau đó tính lời lỗ từng năm

PS_5

Suppose that you are currently managing a portfolio consisting of 5,000 contracts of bond A (7-year, 4% coupon
treasury) and 7,000 contracts of bond B (4-year, 6% coupon treasury). All bonds are denominated at $100 face valu
contract, and they pay their coupons annually. The term structure is currently flat at 5% per annum.

a. Compute the market value and the Modifìed Duration of your portfolio
b. Compute the duration-based expected loss on your port if the term structure instantaneously jumps in
c. Suppose that you would like to hedge your bond port by short-selling a 6-year coupon Treasury. Comp
 lsuất cao, ảnh hưởng của biến động giá thấp hơn)

coupon rate

0.5%. What is the new price and the new yield to maturity of bond? What is the impact of this rate increase for the bondholder?
hat is the rate of your investment?
nd A (7-year, 4% coupon
ominated at $100 face value per
per annum.

ure instantaneously jumps in parallel by 0.5%

ear coupon Treasury. Compute the market value of this hedging port
for the bondholder?