|Author||Topic: Yield Curve Risk Question|
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:
Iíll use bond ďAĒ in Table ďAĒ 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 donít get to 99.5312.
I might (hopefully) be missing something small somewhere. But just canít spend any time on it anymore. So any help would be much appreciated, as I hate moving on without understanding all work previously covered.