Question

Bond Valuation Using Yield Curve:

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, semi-annual coupon payments.

Then use the price, calculate the implied YTM.

Answer 1

Date	1 Mo	2 Mo	3 Mo	6 Mo	1 Yr	2 Yr	3 Yr	5 Yr	7 Yr	10 Yr	20 Yr	30 Yr
3/28/2019	2.44	2.45	2.43	2.44	2.4	2.23	2.18	2.2	2.29	2.39	2.62	2.81

The data is collected from US department of Treasury Website
Implied YTM = 2.39%
So YTM half yearly = 2.39%/2
Semi annual Coupon = 4%*1000/2 = 20
Price of Bond = PV of Coupons + PV of Par Value = 20*(1-(1+2.39%/2)^-2*10/(2.39%/2) + 1000/(1+2.39%/2)²⁰ = 1142.45

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