Fixed Income Price and Duration 2014
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Transcript of Fixed Income Price and Duration 2014
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8/18/2019 Fixed Income Price and Duration 2014
1/11
Bond Price calculated on 31 Mar 2014
FV 100 10% Rbi Bond 2018 no of units 500000
coupon payable sei annually
current ar!et rate of interest"10%
0#$52380$524
period tie period as& Flo' (iscount Present Value
31)*ct)14 1 5 0#$52380$524 4#+,1$04+,1$31)Mar)15 2 5 0#$0+02$4+85 4#53514+3$23
31)*ct)15 3 5 0#8,383+5$85 4#31$18+$$2+
31)Mar)1, 4 5 0#822+024+48 4#1135123+4
31)*ct)1, 5 5 0#+8352,1,,5 3#$1+,308323
31)Mar)1+ , 5 0#+4,2153$,, 3#+310+,$832
31)*ct)1+ + 5 0#+10,813301 3#55340,,50+
31)Mar)18 8 105 0#,+,83$3,2 +1#0,8133013
100
Value of -oldin. 50000000
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8/18/2019 Fixed Income Price and Duration 2014
2/11
current ar!et rate of interest"12%/ after pur price c&an.
0#$433$,
period tie perio as& Flo' (iscount Present Value
31)*ct)14 1 5 0#$433$, 4#+1,$81132131)Mar)15 2 5 0#88$$$, 4#44$$822001
31)*ct)15 3 5 0#83$,1$ 4#1$80$,4152
31)Mar)1, 4 5 0#+$20$4 3#$,04,831,2
31)*ct)1, 5 5 0#+4+258 3#+3,2$08,43
31)Mar)1+ , 5 0#+04$,1 3#524802+022
31)*ct)1+ + 5 0#,,505+ 3#3252855,81
31)Mar)18 8 105 0#,2+412 ,5#8+82$8$$0$
$3#+$020,18$
Value of -oldin. 4,8$5103
),#20$+$4
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8/18/2019 Fixed Income Price and Duration 2014
3/11
current ar! rate of inte"8%/ ie after purc& price c&an.
0#$,1538
period tie perio as& Flo' (iscount Present Value
31)*ct)14 1 5 0#$,1538 4#80+,$230831)Mar)15 2 5 0#$2455, 4#,22+810,5
31)*ct)15 3 5 0#888$$, 4#444$81+$3
31)Mar)1, 4 5 0#854804 4#2+4020$55
31)*ct)1, 5 5 0#821$2+ 4#10$,35534
31)Mar)1+ , 5 0#+$0315 3#$515+2,2$
31)*ct)1+ + 5 0#+5$$18 3#+$$58$0,,
31)Mar)18 8 105 0#+30,$ +,#+224+153
10,#+32+44$
Value of -oldin. 533,,3+2
,#+32+45
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8/18/2019 Fixed Income Price and Duration 2014
4/11
31-Mar-14 Bond Price calculated on 31 Mar 2014
FV 100 10% Rbi Bond 2018 no of units 500000
coupon paable se!i annuall
current !ar"et rate of interest#10%
0$52380524
period ti!e period&as' Flo( )iscount Present Value Present Value*+
31-,ct-14 1 5 0$52380524 4$.104.1 4$.104.
31-Mar-15 2 5 0$002485 4$53514323 $00248
31-,ct-15 3 5 0$8.383585 4$31182 12$55.4
31-Mar-1. 4 5 0$82202448 4$11351234 1.$454045
31-,ct-1. 5 5 0$8352.1..5 3$1.308323 1$5881542
31-Mar-1 . 5 0$4.2153.. 3$310.832 22$38.4.1
31-,ct-1 5 0$10.813301 3$55340..50 24$8384..
31-Mar-18 8 105 0$..833.2 1$0.8133013 5.8$5450.4
100 .8$.334
Value of /oldin 50000000
)uration for . !ont' period .$8.334
)uration 3$3318.
Mod )uration 3$231.0.38
0#2+5
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8/18/2019 Fixed Income Price and Duration 2014
5/11
(uration ect/ &an.e i /)Mod (urationMar!et price c&an.e in interesr rate
2% fall in nterest rate Mar!et Price Mod (uration
100 )2% )3#231,0,38
(uration ect ,#4,3212+5$
*ri.nal price 100
e' price 10,#4,32128
2% rise in nterest rate Mar!et Price Mod (uration
100 2% )3#231,0,38
(uration ect ),#4,3212+,
*ri.nal price 100
e' price $,#+,83$3,2
&an.enterest rate
&an.enterest rate
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8/18/2019 Fixed Income Price and Duration 2014
6/11
opare c&an.e 'it& full 6aluation 'e did earlier
Full 6aluation (uration ect
2% rise in interest ),#20$8 ),#4,32
2% fall in interest ,#+32+ ,#4,32
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8/18/2019 Fixed Income Price and Duration 2014
7/11
Bond Price calculated on 31 Mar 2014
FV 100 10% Rbi Bond 2018 no of units 500000
coupon payable sei annually
current ar!et rate of interest"10%
0#$52380$524
period tie period as& Flo' (iscount Present Value
31)*ct)14 1 5 0#$52380$524 4#+,1$04+,1$31)Mar)15 2 5 0#$0+02$4+85 4#53514+3$23
31)*ct)15 3 5 0#8,383+5$85 4#31$18+$$2+
31)Mar)1, 4 5 0#822+024+48 4#1135123+4
31)*ct)1, 5 5 0#+8352,1,,5 3#$1+,308323
31)Mar)1+ , 5 0#+4,2153$,, 3#+310+,$832
31)*ct)1+ + 5 0#+10,813301 3#55340,,50+
31)Mar)18 8 105 0#,+,83$3,2 +1#0,8133013
100
Value of -oldin. 50000000
Convexity Ef
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8/18/2019 Fixed Income Price and Duration 2014
8/11
7 71 PV 7 /71
2 $#52380$5238, 2+#210884353+
12 51#830255$11$
20 82#2+024+4+$2
30 11+#528$24$+03
42 15,#+052332$3+
5, 1$8#$$0++243,4
+2 511,#$055+,$3,$
5+,0#$,5+04$05$
5+#,0$,5+04$1
1#1025 52#253,5+18+4con6e9ity 13#0,34142$,8
fect=Convexity * change in YTM^2 * 0.5 *100 Convexity Effect
0#0004
0#2,12,8285$
opare c&an.e 'it& ful
2% rise in interest
2% fall in interest
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8/18/2019 Fixed Income Price and Duration 2014
9/11
current ar!et ra
period
31)*ct)1431)Mar)15
31)*ct)15
31)Mar)1,
31)*ct)1,
31)Mar)1+
31)*ct)1+
31)Mar)18
Convexity * change in YTM^2 * 0.5 *100
l 6aluation 'e did earlier
Full 6aluation (uration ect on6e9ity ect
),#20$8 ),#4,32 0#2,13
,#+32+ ,#4,32 0#2,13
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8/18/2019 Fixed Income Price and Duration 2014
10/11
e of interest"12%/ after pur price c&an. current ar! r
0#$433$,
tie perio as& Flo' (iscount Present Value period
1 5 0#$433$, 4#+1,$811321 31)*ct)142 5 0#88$$$, 4#44$$822001 31)Mar)15
3 5 0#83$,1$ 4#1$80$,4152 31)*ct)15
4 5 0#+$20$4 3#$,04,831,2 31)Mar)1,
5 5 0#+4+258 3#+3,2$08,43 31)*ct)1,
, 5 0#+04$,1 3#524802+022 31)Mar)1+
+ 5 0#,,505+ 3#3252855,81 31)*ct)1+
8 105 0#,2+412 ,5#8+82$8$$0$ 31)Mar)18
$3#+$020,18$
Value of -oldin. 4,8$5103
),#20$+$4
-
8/18/2019 Fixed Income Price and Duration 2014
11/11
ate of inte"8%/ ie after purc& price c&an.
0#$,1538
tie perio as& Flo' (iscount Present Value
1 5 0#$,1538 4#80+,$23082 5 0#$2455, 4#,22+810,5
3 5 0#888$$, 4#444$81+$3
4 5 0#854804 4#2+4020$55
5 5 0#821$2+ 4#10$,35534
, 5 0#+$0315 3#$515+2,2$
+ 5 0#+5$$18 3#+$$58$0,,
8 105 0#+30,$ +,#+224+153
10,#+32+44$
Value of -oldin. 533,,3+2
,#+32+45
