EditGrid

Document Sample
EditGrid Powered By Docstoc
					              Yellow: Inputs
              Orange: DV01
              Green: Modified duration
              Blue: Macaulay duration

              Par value             $100.00       (n)      (C)     (P)      (C+P)        (D)
              Years to Maturity
###########################################
              Coupon, %                4.0%
              Yield                    6.0%        Semi-                      Cash        Dis-
                                                  Annual            Prin-     Cash       count
              Semiannual equivalents:             Period Coupon     cipal     Flow      Factor
              Coupon, %                2.0%            1   $2.00              $2.00      0.971
              coupon, $               $2.00            2   $2.00              $2.00      0.943
              Periods
###########################################            3   $2.00              $2.00      0.915
              Semiannual Yield         3.0%            4   $2.00              $2.00      0.888
                                                       5   $2.00              $2.00      0.863
              Bond Price (PV)            $85.12        6   $2.00              $2.00      0.837
                                                       7   $2.00              $2.00      0.813
              Modified Duration                        8   $2.00              $2.00      0.789
              Shock, bps
###########################################            9   $2.00              $2.00      0.766
              Shock, %                0.10%           10   $2.00              $2.00      0.744
              Yield up                6.10%           11   $2.00              $2.00      0.722
              Price (Shock up)       $84.45           12   $2.00              $2.00      0.701
              Yield down              5.90%           13   $2.00              $2.00      0.681
              Price (Shock down)     $85.80           14   $2.00              $2.00      0.661
              Duration
###########################################           15   $2.00              $2.00      0.642
                                                      16   $2.00              $2.00      0.623
              Dollar value of an '01 (DV01)           17   $2.00              $2.00      0.605
              Shock up + 1 bps                        18   $2.00              $2.00      0.587
                  Yield                   5.99%       19   $2.00              $2.00      0.570
                  Price                  $85.19       20   $2.00    $100    $102.00      0.554
                  DV01                    $0.07
                                                                                      Sum of [n x PVCF]
              Shock down - 1 bps                                                      k x Price
                 Yield                    6.01%                                       Macaulay Duration
                 Price                   $85.06                                       Modified Duration
                 DV01                     $0.07

              DV01 another way:
                 (P x D)/10,000           $0.07
              [D x (C+P)]

                 Present
                   Value
                 of Cash       nx
                    Flow     PVCF
                    $1.94    $1.94
                    $1.89    $3.77
                    $1.83    $5.49
                    $1.78    $7.11
                    $1.73    $8.63
                    $1.67   $10.05
                    $1.63   $11.38
                    $1.58   $12.63
                    $1.53   $13.80
                    $1.49   $14.88
                    $1.44   $15.89
                    $1.40   $16.83
                    $1.36   $17.70
                    $1.32   $18.51
                    $1.28   $19.26
                    $1.25   $19.94
                    $1.21   $20.57
                    $1.17   $21.15
                    $1.14   $21.67
                  $56.47
##################################

     Sum of [n x PVCF]
##################################
                           $170.25
     Macaulay Duration
##################################
     Modified Duration
##################################
                Yellow: Inputs
                Orange: DV01                         See thread for discussion:      <a    href="http://www.bionicturtle.com/forum/vi
                Green: Modified duration
                Blue: Macaulay duration

              Par value             $100.00              (n)        (C)       (P)         (C+P)       (D)
              Years to Maturity
###########################################
              Coupon, %                6.0%
              Yield                    6.0%                  Semi-                              Cash        Dis-
                                                           Annual                   Prin-       Cash       count
              Semiannual equivalents:                       Period Coupon           cipal       Flow      Factor
              Coupon, %                      3.0%                                          #VALUE!
                                                                 1 ='duration(2)'!Face_Value*$D$12         0.971
              coupon, $                                          2 ='duration(2)'!Face_Value*$D$12
                                      =D12*'duration(2)'!Face_Value                        #VALUE!         0.943
              Periods
###########################################                                                #VALUE!
                                                                 3 ='duration(2)'!Face_Value*$D$12         0.915
              Semiannual Yield               3.0%                                          #VALUE!
                                                                 4 ='duration(2)'!Face_Value*$D$12         0.888
                                                                                           #VALUE!
                                                                 5 ='duration(2)'!Face_Value*$D$12         0.863
              Bond Price (PV)         =pv('duration(2)'!iRate_SemiAnnual,'duration(2)'!Periods,-D12*'duration(2)'!Face_Value,-'du
                                                                                           #VALUE!
                                                                 6 ='duration(2)'!Face_Value*$D$12         0.837
                                                                                           #VALUE!
                                                                 7 ='duration(2)'!Face_Value*$D$12         0.813
              Modified Duration                                                            #VALUE!
                                                                 8 ='duration(2)'!Face_Value*$D$12         0.789
              Shock, bps
###########################################                                                #VALUE!
                                                                 9 ='duration(2)'!Face_Value*$D$12         0.766
              Shock, %                      0.10%                                          #VALUE!
                                                                10 ='duration(2)'!Face_Value*$D$12         0.744
              Yield up                                          11 ='duration(2)'!Face_Value*$D$12
                                      ='duration(2)'!iRate_Annual+D20/10000                #VALUE!         0.722
              Price (Shock up)        =pv(D22/2,D7*2,-D8*'duration(2)'!Face_Value/2,-'duration(2)'!Face_Value)
                                                                                           #VALUE!
                                                                12 ='duration(2)'!Face_Value*$D$12         0.701
              Yield down                                        13 ='duration(2)'!Face_Value*$D$12
                                      ='duration(2)'!iRate_Annual-D20/10000                #VALUE!         0.681
              Price (Shock down)      =pv(D24/2,D7*2,-D8*'duration(2)'!Face_Value/2,-'duration(2)'!Face_Value)
                                                                                           #VALUE!
                                                                14 ='duration(2)'!Face_Value*$D$12         0.661
              Duration                 #VALUE!                                             #VALUE!
                                                                15 ='duration(2)'!Face_Value*$D$12         0.642
                                                                                           #VALUE!
                                                                16 ='duration(2)'!Face_Value*$D$12         0.623
              Dollar value of an '01 (DV01)                                                #VALUE!
                                                                17 ='duration(2)'!Face_Value*$D$12         0.605
              Shock up + 1 bps                                                             #VALUE!
                                                                18 ='duration(2)'!Face_Value*$D$12         0.587
                   Yield                    5.99%                                          #VALUE!
                                                                19 ='duration(2)'!Face_Value*$D$12         0.570
                   Price                                        20 ='duration(2)'!Face_Value*$D$12
                                                                              ='duration(2)'!Face_Value 0.554
                                                                                           #VALUE!
                                      =-pv(D30/2,'duration(2)'!Periods,'duration(2)'!Face_Value*$D$12,D$6)
                   DV01                #VALUE!
                                                                                                      Sum of [n x PVCF]
              Shock down - 1 bps                                                                      k x Price
                   Yield                    6.01%                                                     Macaulay Duration
                   Price                                                                              Modified
                                      =-pv(D35/2,'duration(2)'!Periods,'duration(2)'!Face_Value*$D$12,D$6) Duration
                   DV01                #VALUE!

                DV01 another way:
                   (P x D)/10,000      #VALUE!
ref="http://www.bionicturtle.com/forum/viewthread/855/"   target="_blank">FRM 2006 Practice Exam #61</a>




                  [D x (C+P)]

                     Present
                       Value
                     of Cash         nx
                        Flow       PVCF
                   #VALUE!      #VALUE!
                   #VALUE!      #VALUE!
                   #VALUE!      #VALUE!
                   #VALUE!      #VALUE!
                   #VALUE!      #VALUE!
                   #VALUE!      #VALUE!
                   #VALUE!      #VALUE!
                   #VALUE!      #VALUE!
                   #VALUE!      #VALUE!
                   #VALUE!      #VALUE!
                   #VALUE!      #VALUE!
                   #VALUE!      #VALUE!
                   #VALUE!      #VALUE!
                   #VALUE!      #VALUE!
                   #VALUE!      #VALUE!
                   #VALUE!      #VALUE!
                   #VALUE!      #VALUE!
                   #VALUE!      #VALUE!
                   #VALUE!      #VALUE!
                   #VALUE!      #VALUE!

      Sum of [n x PVCF]          #VALUE!
                                 #VALUE!
      Macaulay Duration          #VALUE!
      Modified Duration         =L35/(1+'duration(2)'!iRate_SemiAnnual)

				
DOCUMENT INFO
Shared By:
Categories:
Tags:
Stats:
views:18
posted:11/4/2012
language:Unknown
pages:4