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Tarea 1
Tarea 1
Desviacin 0.00922181
Datos
S(0) 2125.77
mu 0.008175 v -0.00254027
sigma 0.1463917037 v*dt -6.960E-006
dt 0.002739726 sigma*dt^0,5 0.00766249
LIBOR
Tenor P(t0,Si)
S(1) 9/19/2016 0.00277778 0.99998976
S(2) 9/25/2016 0.01944444 0.99992297
S(3) 10/21/2016 0.09166667 0.99956747
S(4) 11/17/2016 0.16666667 0.99900867
S(5) 12/18/2016 0.25277778 0.9979378
S(6) 3/17/2017 0.5 0.99403687
S(7) 9/18/2017 1.01388889 0.98477529
Tasas Price
Cupon 1 12/17/2016 0.81033516 0.00810335 99.8961029
Cupon 2 3/17/2017 1.19978 0.0119978 97.974954
Cupon 3 6/17/2017 1.36142649 0.01361426 96.2845942
Cupon 4 9/18/2017 1.52483 0.0152483 94.3451687
Tasas de Depositos
USD Libor
US00O/N Inde 0.3685
US0001W Ind 0.39617
US0001M Ind 0.47206
US0002M Ind 0.59539
US0003M Ind 0.8175
US0006M Ind 1.19978
US0012M Ind 1.52483
Precio
101
100
99
98
97
96
95
94
93
92
91
12/1/2016 2/1/2017 4/1/2017 6/1/2017 8/1/2017
Cupon 1 Cupon 2 Cupon 3 Cupon 4
n 36.691 17.487 14.242 12.358
N 91 90 92 93
n/N 0.4031978 0.1943 0.15480435 0.13288172
PayoutRate 0.0175 0.0175 0.0175 0.0175
Notional 100 100 100 100
Notional*n/N 0.70559615 0.340025 0.27090761 0.23254301
Tasas
0.018
0.016
0.014
0.012
0.01
0.008
0.006
0.004
0.002
0
2017 12/1/2016 2/1/2017 4/1/2017 6/1/2017 8/1/2017
7 8/1/2017