BOND PRICE

CALCULATOR
Face value Rs 100
Settlement date (dd/mm/yy) 26-Aug-10
Maturity date (dd/mm/yy) 24-May-13
Annual coupon rate 9.00%
Required yield 7.00%
Redemption value per
Rs100 100
Frequency of payment 2
Day count basis* 0
  Rs
Clean price 104.90 "=PRICE(B3,B4,B5,B6,B7,B8,B9)"
Accrued interest period 0.511 "=COUPDAYBS(B3,B4,B8,B9)/COUPDAYS(B3,B4,B8,B9)"
Coupon payment 4.50 "=B2*B5/B8"
Accrued Interest 2.30 "=B12*B13"
Full price 107.20 "=B11+B14"
* Day Count Basis: "30/360" = 0; "Actual/Actual" = 1; "Actual/360" = 2; "Actual/365" = 3; "European 30/360" = 4

BOND YIELD CALCULATOR

Settlement date (dd/mm/yy) 26-Aug-10

Maturity date (dd/mm/yy) 24-May-13

Annual coupon rate 9.00%

Market Price (Clean) Rs. 104.43

Redemption value per Rs100 100

Frequency of payment 2

Day count basis 0

Yield-to-Maturity 7.18% "=YIELD(B3,B4,B5,B6,B7,B8,B9)"

Duration 2.448 "=DURATION(B3,B4,B5,B10,B8,B9)"

2.363 "=B11/(1+B10/B8)"
Modified Duration
2.363 "=MDURATION(B3,B4,B5,B10,B8,B9)"

∆P = -Modified Duration x (+/-) bps change in Yield x .0001 x Price before change in Yield
Change in yield (bps) -50
Price before change in yield (Rs.) 104.90
Expected price change due to change in yield (∆P) 1.24 "=-B13*B16*0.0001*B17"
% change 1.2% "=B18/B17"
Expected price due to change in yield 106.14 "=B17+B18"