P1.T4 One Factor Measures of Risk Measure

[skoh]

Hi,

Q15.4, How do we derive the bond price at $45.6387? I've got $59.229 instead. N=20, FV=100

Thanks!

 

[David Harper CFA FRM]

Hi skoh,

N=20
I/Y=8/2=4
PMT=0
FV=100
CPT PV = 45.6387

I notice that if you use PMT = 1 (i.e., coupon rate = 2%), then you do get PV = 59.229, but this asks for a zero-coupon bond, i hope that helps,