What is the price P today of a $130,000 182-day Canadian T-Bill if its quoted yi

Question

What is the price P today of a $130,000 182-day Canadian T-Bill if its quoted yield is 9.65%?

Answer: $124031.86

Find the dP/di the derivative of the previous result from Problem #4 above, with respect to the quoted yield i. Use this derivative to approximate the change in the price of the T-Bill if the yield were to have decreased by 0.002 (i.e. 0.2%) immediately after the T-Bill was purchased.

What is the price P today of a $130,000 182-day Canadian T-Bill if its quoted yield is 9.65%?

Answer: $124031.86

Find the dP/di the derivative of the previous result from Problem #4 above, with respect to the quoted yield i. Use this derivative to approximate the change in the price of the T-Bill if the yield were to have decreased by 0.002 (i.e. 0.2%) immediately after the T-Bill was purchased.

Explanation / Answer

P=130000/(1+i/182*365)
dP/di=-182/365*130000/(1+i*182/365)^2
At i=9.65%
dP/di=-182/365*130000/(1+9.65%*182/365)^2=-59006.7
Change in Price of bond=-59006.7*(-0.2%)=$118.0134

Related Questions

Navigate

• Browse (All)
• Browse W
• Subjects

Integrity-first tutoring: explanations and feedback only — we do not complete graded work. Learn more.