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  • SR No Security-Name Days Left To Maturity (Years) Last Traded Price Discount Factor (DF)

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    Jasmeet S Bindra
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    The document contains a table listing 6 fixed income securities with their time to maturity, last traded price, and discount factor. It then provides explanations for calculating the price of some securities by discounting their future cash flows using the appropriate discount factors for each time period until maturity. An example at the end calculates the price of a 7.00GS2022 bond by discounting its cash flows.

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    The document contains a table listing 6 fixed income securities with their time to maturity, last traded price, and discount factor. It then provides explanations for calculating the price of some securities by discounting their future cash flows using the appropriate discount factors for each time period until maturity. An example at the end calculates the price of a 7.00GS2022 bond by discounting its cash flows.

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    8 views1 page

    SR No Security-Name Days Left To Maturity (Years) Last Traded Price Discount Factor (DF)

    Uploaded by

    Jasmeet S Bindra
    The document contains a table listing 6 fixed income securities with their time to maturity, last traded price, and discount factor. It then provides explanations for calculating the price of some securities by discounting their future cash flows using the appropriate discount factors for each time period until maturity. An example at the end calculates the price of a 7.00GS2022 bond by discounting its cash flows.

    Copyright:

    © All Rights Reserved
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    of 1

    Assignment 2

    Fixed Income Securities


    Submitted by :
    Jasmeet Singh
    Sr No Security-Name Days left Last Discount Factor (DF)
    to Traded
    maturity Price
    (years)
    1 182days_T-bill 0.5 97.3049 97.3049/100 0.97305

    2 364days_Tbill 1 94.4575 94.4575/100 0.94458

    3 6.35GS2020 1.5 100.1725

    Explanation : 100.1725=(3.175*0.973049)+(3.175*0.944575)+(103.173*DF)

    DF 0.912

    4 6.17GS2021 2 100.5

    Explanation : 100.5=(3.085*0.973029)+(3.085*0.944575)+(3.085*0.9119)+(103.085*DF)

    DF 0.8902

    5 7.37GS2021 2.5 103.6025

    Explanation :
    103.6025=(3.685*0.973049)+(3.685*0.944575)+(3.685*0.9119)+(3.685*0.890245)+(103.685*DF)
    DF 0.867

    6 8.83GS2022 3 108.5

    108.5=(4.415*0.973049)+(4.415*0.944575)+(4.415*0.9119)+(4.415*0.890245)+(4.415*0.867)+(104.415*
    DF)
    DF 0.7637

    Answer 2
    Security Pricing :
    7.00GS2022
    Price= (3.5*(0.973049+0.944575+0.9119+0.890245+0.867+0.76377))+(100*0.76377)
    ANS : 95.104

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