Bond formulas Flashcards
1
Q
Forward Rate
A
[(1+YTM2)^2/1+YTM]-1
2
Q
Price of bond
A
FV / YTM as a percentage^year
3
Q
Calculating the YTM for the same bond next year
A
percentage change of price of bond between next year bond price and this year bond price - old - new /new
4
Q
Calculating FV (if you can’t do in calc usually macul duration)
A
Sum PV x discount rate^year of duration
5
Q
Predicted price change
A
(-duration/1+y) x chnage in y x po (initial price)
6
Q
Percentage error calculation
A
New - old / old
7
Q
Rate of return (bond)
A
end year price + coupon + beginning / beginning
8
Q
Predicted price change convexity
A
(- duration / 1 + y) + (1/y x C x y) x Po
9
Q
Modified duration
A
Macaulay duration / 1 + YTM
