FI_hw4 v2.xlsx - Spot rate 3 Year Maturity 1 2 3 4 5 6 7 8 9 10 After 2-year shift After 5-year shift Spot rate Discount factor Spot rate Discount

FI_hw4 v2.xlsx - Spot rate 3 Year Maturity 1 2 3 4 5 6 7 8...

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Spot rate 3% After 2-year shift After 5-year shift Year Maturity Spot rate Discount factor Spot rate Discount factor Spot rate Discount factor 1 0.50 3.00000% 0.985222 3.01000% 0.985173 3.00000% 0.985222 2 1.00 3.00000% 0.970662 3.01000% 0.970566 3.00000% 0.970662 3 1.50 3.00000% 0.956317 3.01000% 0.956176 3.00000% 0.956317 4 2.00 3.00000% 0.942184 3.01000% 0.941999 3.00000% 0.942184 5 2.50 3.00000% 0.928260 3.00833% 0.928070 3.00167% 0.928222 6 3.00 3.00000% 0.914542 3.00667% 0.914362 3.00333% 0.914452 7 3.50 3.00000% 0.901027 3.00500% 0.900871 3.00500% 0.900871 8 4.00 3.00000% 0.887711 3.00333% 0.887595 3.00667% 0.887478 9 4.50 3.00000% 0.874592 3.00167% 0.874528 3.00833% 0.874269 10 5.00 3.00000% 0.861667 3.00000% 0.861667 3.01000% 0.861243 Q5 abcde1). Key rate exposure of 3% 4-year bond Compounding 2.00 Maturity 8.00 I/Y 1.50% Coupon 1.50 FV 100 Key rate Key rate Initial value 100.00 01($) duration After 2-year shift 99.98666904143 0.013331 1.33309585676 After 5-year shift 99.97590589641 0.024094 2.4094103593 Total 0.037425 3.742506 Q5 abcde2). Key rate exposure of 8% 4-year bond Compounding 2.00 Maturity 8.00 I/Y 1.50% Coupon 4.00 FV 100 Key rate Key rate Initial value 118.71 01($) duration After 2-year shift 118.6986974241 0.016115 1.35747809378 After 5-year shift 118.6894267793 0.025386 2.13839536328 Total 0.041501 3.495873 Q5 f1). Key rate exposure of 0% 4-year bond Comments: Key rate Key rate From the results it is evident the 5-year key rate shift has the
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  • Fall '18
  • Dr.HuiyanQIU
  • The Bond, 0.50 3.00000%, 0.956176 3.00000%, 0.956317 3.01000%, 0.970566 3.00000%, 0.970662 3.01000%

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