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UK GILTS: ANALYSIS OF BOND INVESTMENTS

Group Members: Aditee Sharma - G19004


Aravind Konanur - G19009
Gaurav Pandey - G19015
T Saritha - G19047
We have a bond with 1 year to maturity, a coupon rate of 3.25% & a price of $102.50.
1 If the bond makes semi-annual payments, what is its yield maturity?

Settlement Date 1/1/2016


Maturity Date 1/1/2017
Annual Coupon Rate 3%
Bond Price 102.5
Face Value 100
Coupons per year 2
Yield to Maturity 0.74%
Duration 0.9921022
Macaulay Duration 0.9884638

2 We have a bond with 2 year to maturity, a coupon rate of 5.25% & yield to maturiy is 1.74. If the bond makes semi-a

Settlement Date 1/1/2016


Maturity Date 1/1/2018
Annual Coupon Rate 0.0525
Yield to Maturity 0.0174
Face Value 100
Coupons per year 2
Bond Price 106.86993
Duration 1.927367
Macaulay Duration 1.9107435

3 We have a bond with 3 year to maturity, a coupon rate of 4.5% & price is 107.02. If the bond makes semi-annual pay

Settlement Date 1/1/2016


Maturity Date 1/1/2019
Annual Coupon Rate 0.045
Bond Price 107.02
Face Value 100
Coupons per year 2
Yield to Maturity 2.07%
Duration 2.85
Macaulay Duration 2.8168422

4 We have a bond with 5 year to maturity, a coupon rate of 5.25% & yield to maturiy is 1.74. If the bond makes semi-a

Settlement Date 1/1/2016


Maturity Date 1/1/2021
Annual Coupon Rate 0.0275
Yield to Maturity 0.03
Face Value 100
Coupons per year 2
Bond Price 98.847227
Duration 4.70
Macaulay Duration 4.633976

5 We have a bond with 7 year to maturity, a coupon rate of 3.75% & price is 108.91. If the bond makes semi-annual pa

Settlement Date 1/1/2016


Maturity Date 1/1/2023
Annual Coupon Rate 0.05
Bond Price 108.91
Face Value 100
Coupons per year 2
Yield to Maturity 4%
Duration 6.04
Macaulay Duration 5.9366654

6 We have a bond with 10 year to maturity, a coupon rate of 3.75% & yield to maturiy is 4.04. If the bond makes semi-

Settlement Date 1/1/2016


Maturity Date 1/1/2026
Annual Coupon Rate 0.0375
Yield to Maturity 0.0404
Face Value 100
Coupons per year 2
Bond Price 97.633612
Duration 8.41
Macaulay Duration 8.2408863

7 We have a bond with 20 year to maturity, a coupon rate of 4.75% & price is 104.93. If the bond makes semi-annual p

Settlement Date 1/1/2016


Maturity Date 1/1/2036
Annual Coupon Rate 0.0475
Bond Price 104.93
Face Value 100
Coupons per year 2
Yield to Maturity 4%
Duration 13.30
Macaulay Duration 13.019578
8 We have a bond with 30 year to maturity, a coupon rate of 4.5% & yield to maturiy is 4.36. If the bond makes semi-a

Settlement Date 1/1/2016


Maturity Date 1/1/2046
Annual Coupon Rate 0.045
Yield to Maturity 0.0436
Face Value 100
Coupons per year 2
Bond Price 102.33059
Duration 16.90
Macaulay Duration 16.537721

9 We have a bond with 50 year to maturity, a coupon rate of 4% & price is 94.96. If the bond makes semi-annual paym

Settlement Date 1/5/2005


Maturity Date 1/5/2055
Annual Coupon Rate 0.04
Bond Price 94.96
Face Value 100
Coupons per year 2
Yield to Maturity 4%
Duration 21.33
Macaulay Duration 20.887143
74. If the bond makes semi-annual payments, what is the price?

bond makes semi-annual payments, what is the yield to maturiy?

74. If the bond makes semi-annual payments, what is the price?


bond makes semi-annual payments, what is the yield to maturiy?

.04. If the bond makes semi-annual payments, what is the price?

e bond makes semi-annual payments, what is the yield to maturiy?


36. If the bond makes semi-annual payments, what is the price?

nd makes semi-annual payments, what is the yield to maturiy?


We have calculated Convexity by taking 0.7% of interest change.

1 Settlement Date 1/1/2016


Maturity Date 1/1/2017
Annual Coupon Rate 0.0325
Bond Price (P0) 102.5
Face Value 100
Coupons per year 2
Yield to Maturity 0.0074
Duration 0.99210224

Y1 0.0144
Y2 0.0004
P1 101.79446
P2 103.21294
Convexity_Num 0.0074
Convexity_Denom 0.0100
Convexity 0.7367

2 Settlement Date 1/1/2016


Maturity Date 1/1/2018
Annual Coupon Rate 0.0525
Yield to Maturity 0.0174
Face Value 100
Coupons per year 2
Bond Price 106.8699
Duration 1.927367

Y1 0.0244
Y2 0.0104
P1 105.4527
P2 108.3117
Convexity_Num 0.0245
Convexity_Denom 0.0105
Convexity 2.3383

3 Settlement Date 1/1/2016


Maturity Date 1/1/2019
Annual Coupon Rate 0.0450
Bond Price 107.02
Face Value 100
Coupons per year 2
Yield to Maturity 0.0207
Duration 2.85

Y1 0.0277
Y2 0.0137
P1 104.9347
P2 109.1556
Convexity_Num 0.0503
Convexity_Denom 0.0105
Convexity 4.7919

4 Settlement Date 1/1/2016


Maturity Date 1/1/2021
Annual Coupon Rate 0.0275
Yield to Maturity 0.0300
Face Value 100
Coupons per year 2
Bond Price 98.8472
Duration 4.70

Y1 0.0370
Y2 0.0230
P1 95.6996
P2 102.1140
Convexity_Num 0.1191
Convexity_Denom 0.0097
Convexity 12.2983

5 Settlement Date 1/1/2016


Maturity Date 1/1/2023
Annual Coupon Rate 0.05
Bond Price 108.91
Face Value 100
Coupons per year 2
Yield to Maturity 0.0355
Duration 6.04

Y1 0.0425
Y2 0.0285
P1 104.492892
P2 113.54872
Convexity_Num 0.2216
Convexity_Denom 0.0107
Convexity 20.7635

6 Settlement Date 1/1/2016


Maturity Date 1/1/2026
Annual Coupon Rate 0.0375
Yield to Maturity 0.0404
Face Value 100
Coupons per year 2
Bond Price 97.6336
Duration 8.41

Y1 0.0474
Y2 0.0334
P1 92.1878
P2 103.4613
Convexity_Num 0.3818
Convexity_Denom 0.0096
Convexity 39.9054

7 Settlement Date 1/1/2016


Maturity Date 1/1/2036
Annual Coupon Rate 0.0475
Bond Price 104.93
Face Value 100
Coupons per year 2
Yield to Maturity 0.0438
Duration 13.30

Y1 0.0508
Y2 0.0368
P1 95.9159
P2 115.0926
Convexity_Num 1.1484
Convexity_Denom 0.0103
Convexity 111.6813

8 Settlement Date 1/1/2016


Maturity Date 1/1/2046
Annual Coupon Rate 0.045
Yield to Maturity 0.0436
Face Value 100
Coupons per year 2
Bond Price 102.3306
Duration 16.90

Y1 0.0506
Y2 0.0366
P1 91.4044
P2 115.2195
Convexity_Num 1.9627
Convexity_Denom 0.0100
Convexity 195.7173

9 Settlement Date 1/5/2005


Maturity Date 1/5/2055
Annual Coupon Rate 0.04
Bond Price 94.96
Face Value 100
Coupons per year 2
Yield to Maturity 0.0424
Duration 21.33

Y1 0.0494
Y2 0.0354
P1 82.5712
P2 110.6519
Convexity_Num 3.3031
Convexity_Denom 0.0093
Convexity 354.9380