Tema 6

Ushtrimi 1 (Liber)

Po = 900 $ P < Vn – zbritje

Vn = 1000 $ C < YTM
t = 6 vite  n = 6 * 2 = 12
kupon 6 mujor
C = 70$ ( vjetor)
a. Rezultati rrjedhes
rC = C / Po = 70 / 900 = 7.78%
 YTM =[ C + (VN – Po )/n] / (Vn + po) / 2
Nqs kuponi 6 –mujoy
 YTM =[ C/2 + (VN – Po )/2n] / (Vn + po) / 2
YTM = [ 70/2 + (1000 – 900) / 6 *2] / (1000 + 900) 2
YTM = 4.56%
 SHPJEGIM TEORIK
- Rezultati rrjedhes = rC = kupon / cmim obligacioni
- Merr parasysh vetem kuponin jo TR kapitale
- As afatin e maturimit
 YTM rezultati deri ne maturim
- Norme qe supozohen se obligacioni do te mbahet deri ne maturim
- Mr YTM riinvestohen kuponet
- Merr parasysh TR zakonshme dhe TR kapitale
- Afatin e maturimit
- Nuk merr parasysh mundesite e ritregtimit (shitjes) ose te ndryshimit te vleres se
obligacionit

b.
0 1 2 3 4 5 6 7 8 9 10 11 12

SHET P4

P4 = C / 2 * PVIFA (7%/2 ; 4) + VN * PVIF (7%/2 ; 4)

P4 = 999,95 = 1000$

FV = C/2 * FVIFA (6%/2 ; 8) * FVIFA (3% ; 8)

FV = 311.2305 $

Po ( 1 + ief)8 = P4 + FV nga e cila del ief

USHTRIMI 2

t=3
n = 20 vite
c = 8% 0 3 20 vite
prim thirrje = 11%
Vl * n = 1000$
a. YTC = [ C + (Pc – Po)/t] / (Pc + Po) / 2
Pc = (1 + 11% ) 1000 = 1110 $
C = 8% * 1000 = 80$

b. r = 6% c > r  P > Vl * n
P=?
YTM = ?

P = C * PVIFA (6% ; 17) + Vn * PVIF (6% ; 17)

P = 1209,58$

YTM = [ 80 + ( 1000 – 1209,58) / 17 ] / (1000 + 1209,58) / 2

YTM = 6.125 %

c. YTC = [C/2 + (Pc –Po) / 2t ] / (Pc + Po) / 2

USHTRIMI 3

c = 8% C = 8% / 2 * 1000 = 40 $
Vn = 1000 $ 3*2 = 6 periudhe
t = 3 vite Ytm = 5%
YTM = 10%
a.
t CF 1 / (1 + 5%) t PV CF PV CF * t
1 40 0.9523 38.092 38.092
2 40 0.9070 36.28 72.56
3 40 0.8638 34.552 103.656
4 40 0.8227 32.908 131.632
5 40 0.7835 31.34 156.7
6 1040 0.7462 776.048 4656.288
Po 949.22 5158.928

Dmacaulay = E PVCF*t / E PVCF = 5158.928 / 949.22 = 5.43 (6 mujore)

D mac = 5.43/2 = 2.7 vite

b. D madif = D mac / 1+ y = 2.7 / (1 + 5%) = 2.588 vite