Bonos Problemas

PROBLEMAS DE BONOS
PROBLEMA 7.2
CUPON O INTERESES = I =
TASA CUPON = i =
AOS A. DEL VTO. DEL B. = N =
TASA DE DSTO. = Kd =
V. A LA PAR O AL VTO. = M =
VALOR ACTUAL DEL BONO = Vb =
Precio de retiro
40 .= i * M
0.08
20
?
3.31%
RAV
1000
1100 . PRECIO DE MERCADO DEL BONO
1050
3.24% RAR
45 .= i * M
0.09
16
0.0425
1000
. PRECIO DE MERCADO DEL BONO
PROBLEMA 7.3
TASA CUPON = i =
PROBLEMA 7.4
TASA CUPON = i =
70 .= i * M
0.07
10
?
0.0721570063 .. RAV .
1000
Vb = VPA + VP
RA
PVA = a((1-(1+ Kd )^-n) / Kd ) =

PV = FV / (1+ Kd )^n =
Vb =
PROBLEMA 7.5
A)
1)
Bono L
TASA CUPON = i =
Bono S
TASA CUPON = i =
2)
Bono L
TASA CUPON = i =
Bono S
TASA CUPON = i =
100 .= i * M
0.1
15
0.05
1000
100 .= i * M
0.1
1
0.05
1000
100 .= i * M
0.1
15
0.08
1000
100 .= i * M
0.1
1
0.08
1000
3)
Bono L
TASA CUPON = i =
Bono S
TASA CUPON = i =
B)
100 .= i * M
0.1
1
0.12
1000
El bono L tiene un mayor riesgo de tasa de interes, mientras mas tarde el bono en vencerse mas cambiarara
PROBLEMA 7.6
A)
1)
TASA CUPON = i =
2)
TASA CUPON = i =
B)
TASA CUPON = i =
PROBLEMA 7.7
100 .= i * M
0.1
15
0.12
1000
90 .= i * M
0.09
4
?
14.99% .. RAV .
1000
90 .= i * M
0.09
4
?
6.00% .. RAV .
1000
90 .= i * M
0.09
4
0.12
1000
TASA CUPON = i =
Prima de rescate
140 .= i * M
0.14
6
?
3.96% .. RAV .
1000
0.09
PROBLEMA 7.8
A)
TASA CUPON = i =
M' =
60 .= i * M
0.12
20
?
0.0518494306 .. RAV .
S/. 1,000.00
S/. 1,100.00 . PRECIO DE MERCADO DEL BONO
S/. 1,060.00
5.07% RAV
B)
RA
0.0545454545
10.91%
C)
GANANCIA DE CAPITAL
-0.54%
PROBLEMA 7.9
TASA CUPON = i =
RA =
PROBLEMA 7.10
80 .= i * M
0.08
5
?
8.65% .. RAV .
1000
974.42 . PRECIO DE MERCADO DEL BONO
8.21%
TASA CUPON = i =
.= i * M
14
0.0529415
1000
Cupon
RA=
0.0539217214
PROBLEMA 7.11
TASA CUPON = i =
M'
70 .= i * M
14.0%
10
?
0.0323664536 .. RAV .
1000
1050
1353.54
PROBLEMA 7.12
A)
TASA CUPON = i =
110 .= i * M
0.11
10
?
8.35% .. RAV .
1000
B)
TASA CUPON = i =
M' =
110 .= i * M
0.11
5
?
8.13% .. RAR .
1000
1090
C)
Se obtendr un rendimiento de 8.13% debido al valor por encima de la par.
D)
Se presentan los siguientes casos
TASA CUPON = i =
M' =
TASA CUPON = i =
M' =
TASA CUPON = i =
M' =
TASA CUPON = i =
M' =
110 .= i * M
0.11
6
?
8.27% .. RAV .
1000
1080
110 .= i * M
0.11
7
?
8.37% .. RAV .
1000
1070
110 .= i * M
0.11
8
?
8.46% .. RAV .
1000
1060
110 .= i * M
0.11
9
?
8.53% .. RAV .
1000
1050
La ltima fecha es en el ao 6
PROBLEMA 7.13
TASA CUPON = i =
90 .= i * M
0.09
15
0.085
1000
TASA CUPON = i =
90 .= i * M
0.09
5
0.1
1041.521182879
?
Est dispuesto a pagar S/. 987.87 por el bono.
PROBLEMA 7.14
TASA CUPON = i =
45 .= i * M
0.09
20
0.08
1000
PROBLEMA 7.15
TASA CUPON = i =
RA =
80 .= i * M
0.08
9
?
9.69% .. RAV .
1000
8.87%
Ganancia de capital
(para el prximo ao)
0.82%
PROBLEMA 7.17
TASA CUPON = i =
110 .= i * M
0.11
10
0.0979
?
M' =
Rendimiento ganado en un periodo
1000
1060.49
8.88%
PROBLEMA 7.19
A)
TASA CUPON = i =
TASA CUPON = i =
M' =
95 .= i * M
0.095
28
?
8.00% .. RAV .
1000
95 .= i * M
0.095
5
?
7.02% .. RAR .
1000
1090
B) y C)
Los inversionistas obtendran un rendimiento de 7.02% pues compran el bono a una valor por encima de la par.
Si el bono se vendia con descuento era ms importante el RAV
PROBLEMA 7.20
kd
8%
S/. 1,134.20
S/. 463.19
S/. 680.58
S/. 99.38
S/. 1,250.00
Cupn anual a 10% y a 10 aos

Cupn cero a 10 aos
Cupon cero a cinco aos
Cupn cero a 30 aos
Prepetuidad de 100
PROBLEMA 7.21
BONO C
TASA CUPON = i =
100
0.1
28
9.60%
7%
S/. 1,210.71
S/. 508.35
S/. 712.99
S/. 131.37
S/. 1,428.57
BONO Z
TASA CUPON = i =
1000
0
0
28
9.60%
1000
A)
t
0
1
2
3
4
B)
Aos por vencer

4
3
2
1
0
Precio del bono C

Precio del bono Z
S/. 1,012.79
S/. 693.04
S/. 1,010.02
S/. 759.57
S/. 1,006.98
S/. 832.49
S/. 1,003.65
S/. 912.41
S/. 1,000.00
S/. 1,000.00
0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
6.62%
6.49%
-1100
40
40
40
40
40
40
40
40
40
40
40
40
40
40
40
40
40
40
40
1040
Vb = VPA + VP
PVA = a((1-(1+ Kd )^-n) / Kd ) =
PV = FV / (1+ Kd )^n =
Vb =
7.11% a)
14.43% b)
S/. 514.81
S/. 513.79
S/. 1,028.60
0
1
2
3
4
5
6
7
8
9
10
-985
70
70
70
70
70
70
70
70
70
1070
0
1
2
3
4
5
6
7
8
9
10
(S/. 1,100.00)
S/. 40.00
S/. 40.00
S/. 40.00
S/. 40.00
S/. 40.00
S/. 40.00
S/. 40.00
S/. 40.00
S/. 40.00
S/. 1,090.00
S/. 374.43
S/. 614.03
S/. 988.46 c)
Vb = VPA + VP
PVA = a((1-(1+ Kd )^-n) / Kd ) =
PV = FV / (1+ Kd )^n =
Vb =
S/. 1,037.97
S/. 481.02
S/. 1,518.98
Vb =
S/. 95.24
S/. 952.38
S/. 1,047.62
Vb =
S/. 855.95
S/. 315.24
S/. 1,171.19
Vb =
S/. 92.59
S/. 925.93
S/. 1,018.52
Vb = VPA + VP
PVA = a((1-(1+ Kd )^-n) / Kd ) =
PV = FV / (1+ Kd )^n =
Vb = VPA + VP
PVA = a((1-(1+ Kd )^-n) / Kd ) =
PV = FV / (1+ Kd )^n =
Vb = VPA + VP
PVA = a((1-(1+ Kd )^-n) / Kd ) =
PV = FV / (1+ Kd )^n =
Vb = VPA + VP
PVA = a((1-(1+ Kd )^-n) / Kd ) =
PV = FV / (1+ Kd )^n =
Vb =
S/. 681.09
S/. 182.70
S/. 863.78
Vb =
S/. 89.29
S/. 892.86
S/. 982.14
Vb = VPA + VP
PVA = a((1-(1+ Kd )^-n) / Kd ) =
PV = FV / (1+ Kd )^n =
n vencerse mas cambiarara el precio ante una modificacion de tasas
0
1
2
3
4
-829
90
90
90
1090
0
1
2
3
4
-1104
90
90
90
1090
Vb = VPA + VP
PVA = a((1-(1+ Kd )^-n) / Kd ) =
PV = FV / (1+ Kd )^n =
Vb =
S/. 273.36
S/. 635.52
S/. 908.88
-1000
10.37%
10.15%
1
2
3
4
5
6
140
140
140
140
140
1230
0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
-1100
60
60
60
60
60
60
60
60
60
60
60
60
60
60
60
60
60
60
60
1060
0
1
2
3
4
5
-974.42
80
80
80
80
1080
0
1
2
3
4
5
6
7
8
(S/. 1,100.00)
S/. 60.00
S/. 60.00
S/. 60.00
S/. 60.00
S/. 60.00
S/. 60.00
S/. 60.00
S/. 1,120.00
Vb = VPA + VP
PVA = a((1-(1+ Kd )^-n) / Kd ) =
PV = FV / (1+ Kd )^n =
Vb =
S/. 534.33
S/. 485.67
S/. 1,020.00
S/. 55.00
10.78%
6.47%
0
1
2
3
4
5
6
7
8
9
10
-1353.54
70
70
70
70
70
70
70
70
70
1120
0
1
2
3
4
5
6
7
8
9
10
-1175
110
110
110
110
110
110
110
110
110
1110
0
1
2
3
4
5
-1175
110
110
110
110
1200
0
1
2
3
4
5
6
-1175
110
110
110
110
110
1190
0
1
2
3
4
5
6
7
-1175
110
110
110
110
110
110
1180
0
1
2
3
4
5
6
7
8
-1175
110
110
110
110
110
110
110
1170
0
1
2
3
4
5
6
7
8
9
-1175
110
110
110
110
110
110
110
110
1160
Vb = VPA + VP
PVA = a((1-(1+ Kd )^-n) / Kd ) =
PV = FV / (1+ Kd )^n =
Vb =
S/. 747.38
S/. 294.14
S/. 1,041.52
Vb =
S/. 341.17
S/. 646.70
S/. 987.87
Vb =
S/. 611.56
S/. 456.39
S/. 1,067.95
Vb = VPA + VP
PVA = a((1-(1+ Kd )^-n) / Kd ) =
PV = FV / (1+ Kd )^n =
Vb = VPA + VP
PVA = a((1-(1+ Kd )^-n) / Kd ) =
PV = FV / (1+ Kd )^n =
0
1
2
3
4
5
6
7
8
9
Vb = VPA + VP
PVA = a((1-(1+ Kd )^-n) / Kd ) =
PV = FV / (1+ Kd )^n =
S/. 682.04
S/. 392.98
-901.41
80
80
80
80
80
80
80
80
1080
Vb =
ma de la par.
Cambio porcentual
7%
10%
5%
32%
14%
S/. 1,075.02
0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
-1165.75
95
95
95
95
95
95
95
95
95
95
95
95
95
95
95
95
95
95
95
95
95
95
95
95
95
95
95
1095
0
1
2
3
4
5
(S/. 1,165.75)
S/. 95.00
S/. 95.00
S/. 95.00
S/. 95.00
S/. 1,185.00
P re c io d e lo s b o n o s
S/. 1,200.00
Precio del bono
S/. 1,000.00
S/. 800.00
S/. 600.00
Precio del
bono C
S/. 400.00
S/. 200.00
S/. 0.00
0
0.5
1.5
2
2.5
Aos
3.5
4.5
Precio del
bono C

Bonos Problemas

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Bonos Problemas

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PROBLEMAS DE BONOS

PVA = a((1-(1+ Kd )^-n) / Kd ) =

Est dispuesto a pagar S/. 987.87 por el bono.

Cupn anual a 10% y a 10 aos

Aos por vencer

Precio del bono C

n vencerse mas cambiarara el precio ante una modificacion de tasas

Precio del bono

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