AuthorTopic: Yield Curve Risk Question
arendb
@2015-03-20 14:14:31		 Hi people

I have a question for you:

On page 360 of the Equity and Fixed Income book (Volume 5) there is an exhibit with a few tables/illustrations of Yield Curve Risk Compositions of a particular portfolio:

I’ll use bond “A” in Table “A” as an example: the new bond price uses a multiple of 99.5312 to derive to the new bond value. Can anyone please explain how this multiple has been calculated?

I used coupon payments received over the period (2 years) as well as the principles amount, discounted these at 5.25%, but still don’t get to 99.5312.

I might (hopefully) be missing something small somewhere. But just can’t spend any time on it anymore. So any help would be much appreciated, as I hate moving on without understanding all work previously covered.

Thanks
Arend

CFA Discussion Topic: Yield Curve Risk Question

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