Calcular bonos

Datos Resultado
F 100 111.7639
n 3
r 5%
C 100
i 1%
c=Fr 5

i 0.50% 1.00% 1.50% 2.00% 2.50% 3.00% 3.50% 4.00% 4.50%

P 113.3661 111.7639 110.1927 108.6516 107.1401 105.6572 104.2025 102.7751 101.3745
Absolute lost -1.602176 -1.571239 -1.541052 -1.511591 -1.482836 -1.454767 -1.427364 -1.400609
Relative lost -1.4% -1.4% -1.4% -1.4% -1.4% -1.4% -1.4% -1.4%

Price for different levels of IRs

250

200

150
3 Y 5 Coupo
Price

3 years 45 c
100 20 y 5 coup

50

0
0.00% 5.00% 10.00% 15.00% 20.00% 25.00%
Yiel rate
 5.00% 5.50% 6.00% 6.50% 7.00% 7.50% 8.00% 8.50% 9.00% 9.50%
100 98.65103 97.32699 96.02729 94.75137 93.49869 92.26871 91.06092 89.87482 88.70992
-1.374482 -1.348967 -1.324045 -1.299701 -1.275919 -1.252682 -1.229977 -1.207787 -1.1861 -1.164902
-1.4% -1.3% -1.3% -1.3% -1.3% -1.3% -1.3% -1.3% -1.3% -1.3%

3 Y 5 Coupon bond
3 years 45 coupon bond
20 y 5 coupon bond

25.00%
 10.00% 10.50% 11.00% 11.50% 12.00% 12.50% 13.00% 13.50% 14.00% 14.50%
87.56574 86.44182 85.33771 84.25297 83.18718 82.13992 81.11078 80.09937 79.10531 78.12823
-1.144179 -1.123919 -1.104109 -1.084738 -1.065793 -1.047263 -1.029138 -1.011407 -0.99406 -0.977086
-1.3% -1.3% -1.3% -1.3% -1.3% -1.3% -1.3% -1.2% -1.2% -1.2%
 15.00% 15.50% 16.00% 16.50% 17.00% 17.50% 18.00% 18.50% 19.00% 19.50%
77.16775 76.22353 75.29522 74.38248 73.48498 72.60241 71.73445 70.8808 70.04117 69.21525
-0.960477 -0.944222 -0.928312 -0.91274 -0.897495 -0.882571 -0.867958 -0.853649 -0.839637 -0.825914
-1.2% -1.2% -1.2% -1.2% -1.2% -1.2% -1.2% -1.2% -1.2% -1.2%
 20.00%
68.40278
-0.812473
-1.2%
 Calcular bonos
Datos Resultado
F 100 229.4033
n 3
r 45%
C 100
i 1%
c=Fr 45

i 0.50% 1.00% 1.50% 2.00% 2.50% 3.00% 3.50% 4.00% 4.50%

P 232.176 229.4033 226.6807 224.007 221.381 218.8017 216.2679 213.7787 211.3331
Absolute lost -2.772693 -2.722631 -2.673737 -2.625979 -2.579325 -2.533742 -2.489202 -2.445676
Relative lost -1.2% -1.2% -1.2% -1.2% -1.2% -1.2% -1.2% -1.1%
 5.00% 5.50% 6.00% 6.50% 7.00% 7.50% 8.00% 8.50% 9.00% 9.50%
208.9299 206.5684 204.2475 201.9663 199.724 197.5197 195.3526 193.2218 191.1266 189.0662
-2.403135 -2.361553 -2.320902 -2.281159 -2.242297 -2.204294 -2.167127 -2.130772 -2.095209 -2.060416
-1.1% -1.1% -1.1% -1.1% -1.1% -1.1% -1.1% -1.1% -1.1% -1.1%
 10.00% 10.50% 11.00% 11.50% 12.00% 12.50% 13.00% 13.50% 14.00% 14.50%
187.0398 185.0468 183.0863 181.1577 179.2604 177.3937 175.5569 173.7494 171.9706 170.2199
-2.026373 -1.99306 -1.960459 -1.928551 -1.897318 -1.866742 -1.836807 -1.807496 -1.778794 -1.750685
-1.1% -1.1% -1.1% -1.1% -1.0% -1.0% -1.0% -1.0% -1.0% -1.0%
 15.00% 15.50% 16.00% 16.50% 17.00% 17.50% 18.00% 18.50% 19.00% 19.50%
168.4968 166.8006 165.1308 163.4869 161.8684 160.2747 158.7054 157.1599 155.6378 154.1387
-1.723154 -1.696187 -1.66977 -1.643888 -1.61853 -1.593681 -1.569329 -1.545463 -1.52207 -1.499139
-1.0% -1.0% -1.0% -1.0% -1.0% -1.0% -1.0% -1.0% -1.0% -1.0%
 20.00%
152.662
-1.47666
-1.0%
 Calcular bonos
Datos Resultado
F 100 172.1822
n 20
r 5%
C 100
i 1%
c=Fr 5

i 0.50% 1.00% 1.50% 2.00% 2.50% 3.00% 3.50% 4.00% 4.50%

P 185.4434 172.1822 160.0902 149.0543 138.9729 129.7549 121.3186 113.5903 106.504
Absolute lost -13.26117 -12.09198 -11.03594 -10.08139 -9.217956 -8.436345 -7.728279 -7.086358
Relative lost -7.2% -7.0% -6.9% -6.8% -6.6% -6.5% -6.4% -6.2%
 5.00% 5.50% 6.00% 6.50% 7.00% 7.50% 8.00% 8.50% 9.00% 9.50%
100 94.02481 88.53008 83.47224 78.81197 74.51377 70.54556 66.87832 63.48582 60.34428
-6.503968 -5.975191 -5.49473 -5.05784 -4.660268 -4.2982 -3.968214 -3.667236 -3.392505 -3.141537
-6.1% -6.0% -5.8% -5.7% -5.6% -5.5% -5.3% -5.2% -5.1% -4.9%
 10.00% 10.50% 11.00% 11.50% 12.00% 12.50% 13.00% 13.50% 14.00% 14.50%
57.43218 54.73 52.22003 49.8862 47.71389 45.68985 43.80199 42.03932 40.39183 38.85039
-2.912099 -2.70218 -2.50997 -2.333834 -2.172302 -2.024045 -1.887862 -1.762671 -1.647491 -1.541436
-4.8% -4.7% -4.6% -4.5% -4.4% -4.2% -4.1% -4.0% -3.9% -3.8%
 15.00% 15.50% 16.00% 16.50% 17.00% 17.50% 18.00% 18.50% 19.00% 19.50%
37.40669 36.05312 34.78275 33.58924 32.46679 31.4101 30.4143 29.47493 28.58793 27.74953
-1.443704 -1.353567 -1.270368 -1.193509 -1.122449 -1.056695 -0.995801 -0.939361 -0.887005 -0.838396
-3.7% -3.6% -3.5% -3.4% -3.3% -3.3% -3.2% -3.1% -3.0% -2.9%
 20.00%
26.9563
-0.79323
-2.9%
 Calcular bonos
Datos Resultado
F 100 108.6516
n 3
r 5%
C 100
i 2%
c=Fr 5

Macaulay Duration t Cash flow v^t PV cash flow

v 0.980392 1 5 0.980392 4.9019607843
vn 0.942322 2 5 0.961169 4.8058439062
an 2.883883 3 105 0.942322 98.943845127
an anti 2.941561 Pice 108.65164982
Ian 5.729697
Macaulay Duration 2.865536
Modified Duration 2.922846
wt t(wt)
0.045116 0.045116
0.044232 0.088463
0.910652 2.731956
MacDur 2.865536
 Calcular bonos
Datos Resultado
F 100 224.007
n 3
r 45%
C 100
i 2%
c=Fr 45

Macaulay Duration t Cash flow v^t PV cash flow

v 0.980392 1 5 0.980392 4.9019607843
vn 0.942322 2 5 0.961169 4.8058439062
an 2.883883 3 105 0.942322 98.943845127
an anti 2.941561 Pice 108.65164982
Ian 5.729697
Macaulay Duration 2.413019
Modified Duration 2.461279
wt t(wt)
0.045116 0.045116
0.044232 0.088463
0.910652 2.731956
MacDur 2.865536
 Calcular bonos
Datos Resultado
F 100 101.4203
n 3
r 5%
C 100
i 4%
c=Fr 5

Macaulay Duration t Cash flow v^t PV cash flow

v 0.957089 1 5 0.957089 4.7854445917
vn 0.876712 2 5 0.916019 4.5800959881
an 2.74982 3 105 0.876712 92.054741419
an anti 2.873108
Ian 5.419263
Macaulay Duration 2.860472
Modified Duration 2.737726
 Pice 101.4203 MacDur 2.86 ModDur 2.74

wt t(wt)
0.047184 0.047184
0.04516 0.090319
0.907656 2.722968
BOND PV DURATION