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| UK Treasury Notes | Coupon | Yield to Maturity | Zero Coupon Rate |
| 1 year | 2.25% | 0.20% | 0.20% |
| 2 year | 2.75% | 0.34% | 0.34% |
| 3 year | 2.00% | 0.41% | 0.41% |
| 4 year | 1.75% | 0.63% | 0.64% |
| 5 year | 5.00% | 0.95% | 1.00% |
| Let the par value be 1000 |
| par value | 1000 |
| C1 | 22.5 |
| Spot rate | 0.20% |
| 2 year spot rate | | | 2 year bond price |
| C2 | 27.5 | | C2 | 27.5 |
| Bond cash flow at end of year 1 | 27.5 | | Bond cash flow at end of year 1 | 27.5 |
| Bond cash flows at end of year 2 | 1027.5 | | Bond cash flows at end of year 2 | 1027.5 |
| PV of CF1 at 0.20% | 27.4 | | YTM | 0.34% |
| 2 year spot rate | 0.3% | | Price of bond | 1048 |
| 3 year spot rate | | | 3 year bond price |
| C3 | 20 | | C3 | 20 |
| Bond cash flow at end of year 1 | 20.0 | | Coupon value | 20 |
| Bond cash flows at end of year 2 | 20 | | par value | 1000 |
| Bond cash flows at end of year 3 | 1020 | | YTM | 0.41% |
| PV of CF1 at 0.20% | 19.96 | | Price of bond | 1047.311516 |
| PV of CF2 at 2.8% | 19.86 |
| 3 year spot rate | 0.41% |
| 4 year spot rate | | | 4 year bond price |
| C4 | 17.5 | | C4 | 17.5 |
| Bond cash flow at end of year 1 | 17.5 | | Coupon value | 17.5 |
| Bond cash flows at end of year 2 | 17.5 | | par value | 1000 |
| Bond cash flows at end of year 3 | 17.5 | | YTM | 0.63% |
| Bond cash flows at end of year 4 | 1017.5 | | Price of bond | 1044.103194 |
| PV of CF1 at 0.20% | 17.47 |
| PV of CF2 at 2.8% | 17.38 |
| PV of CF3 at 2.00% | 17.29 |
| 4 year spot rate | 0.64% |
| 5 year spot rate | | | 5 year bond price |
| C5 | 50 | | C5 | 50 |
| Bond cash flow at end of year 1 | 50 | | Coupon value | 50 |
| Bond cash flows at end of year 2 | 50 | | par value | 1000 |
| Bond cash flows at end of year 3 | 50 | | YTM | 0.95% |
| Bond cash flows at end of year 4 | 50 | | Price of bond | 1196.85429 |
| Bond cash flows at end of year 5 | 1050 |
| PV of CF1 at 0.20% | 49.90 |
| PV of CF2 at 2.8% | 49.66 |
| PV of CF3 at 2.00% | 49.39 |
| PV of CF3 at 1.74% | 48.75 |
| 5 year spot rate | 1.00% |
| 5 year bullet bond |
| par value | 1000 |
| Coupon | 24.71 |
| Year | Payments | PV |
| 1 | 24.71 | 24.3 |
| 2 | 24.71 | 23.8 |
| 3 | 24.71 | 23.3 |
| 4 | 24.71 | 22.7 |
| 5 | 1024.71 | 905.8 | 1000.0 |
| YTM |
| Year | Payments |
| 1 | 24.71 |
| 2 | 24.71 |
| 3 | 24.71 |
| 4 | 24.71 |
| 5 | 1024.71 | 2% |
| Modified duration |
| Year | Payments | PV | PV*year | Duration |
| 1 | 24.71 | 24.11 | 24.1141396101 | 4.76 |
| 2 | 24.71 | 23.53 | 47.0652957618 |
| 3 | 24.71 | 22.97 | 68.8955349732 |
| 4 | 24.71 | 22.41 | 89.6455712321 |
| 5 | 1024.71 | 906.98 | 4534.8832067864 |
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uktreasury-datamarch.xls
