SCHWESERNOTES - BOOK 3 / CFA® Program Curriculum, Volume 4, page 147

CFA Level III Fixed Income
#1

Has anybody tried to recalculate the Rolldown price (column D) in Exhibit 19?

My calculation ends up with different value, e.g. the 5-year Rolldown price is 100,98 according to may calculation with the following formula. What am I missing there?

Rolldown Price = 102,74/(1+2,5%)^4 + 2,74/(1+2,23%)^3 + 2,74/(1+1,91%)^2 + 2,74/(1+1,5%)^1 = 100,98

In the table it’s stated the price should be 100,90.

Can anyone help?

#2

I think your calculation is correct. The issue is that the coupons and YTM in Exhibit 18 are rounded to two decimal points. These coupons when used in Exhibit 19 (with the rounding) is causing the discrepancy.
I get values of 100.4039, 100.631, 100.8078, 100.9797 and 101.1155 respectively for the new price with rolldown (column D) respectively for 2,3,4,5 and 6 years.