Pasco Hernando State College Bond Valuation Using Yield Curve Worksheet
Bond Valuation Using Yield Curve
After you have completed the yield curve model following lecture videos, you can work on this assignment by creating a new tab in the module file.
Obtain the latest yield curve rates from US Department of Treasury website. Use these yield curve rates, price a 10-year bond with $1000 face value, 4% coupon rate with semi-annual coupon payments. Therefore, this bond will have 20 periods to maturity. When yield curve rates are not available in between two periods, use simply linear extrapolation. For example, year 8’s interest rate can be the average of Year 6’s and Year 10’s interest rates. After you price the bond, calculate the implied YTM of this bond.
