Professional Documents
Culture Documents
Estimated Curve
0,004%
B0
1.1593265174
R2
0,004%
Adjusted R2
0,005%
B1
B2
-1.1543265174 4.0788706493
B3
4.860322077
t1
t2
e
9.3252369139 11.270418509 2.7182818285
sum
0.00
regression
B0+B1
0.500%
0,003%
0,003%
0,002%
Spot
0,002%
Forward
0,001%
0,001%
0,000%
0
10
15
20
25
Settlement Box
INT.CONV.
FREQ.
DAYS/YR
SET.DATE
1
365.25
7/12
1
365.25
10/12
1
365.25
3/12
BTAN
30
1st Accrued
1st coupon
Bund Curve
Svensson Equations:
Yield adjustment
DE0001137321
11/12/2010
3/16/2011
12/14/2011
DE0001141562
1/15/2010
2/27/2011
DE0001141588
9/24/2010
10/9/2011
DE0001135408
4/30/2010
7/5/2011
ON is the only one that the difference is between the day we are
The others is the difference between the maturity and the settlement date
2-Dec-10
Bond
I want to minimize the difference between the market and the model
Adjusted Yield YTM
Svensson
Market Price
Mkt Yield
Av.Life
Spot
Forward
(ei )2
MDuration
Price
Mispricing
0.500%
0.003
0.310
0.559
0.712
0.775
0.852
1.077
1.274
1.351
1.575
1.849
2.022
2.079
2.348
2.575
3.079
3.345
3.575
3.844
4.079
4.227
4.575
4.841
5.079
5.578
6.082
6.578
7.082
7.578
8.082
8.578
9.082
9.584
13.085
16.584
17.088
17.586
19.090
20.090
23.589
26.096
28.592
29.595
31.595
0.006%
0.156%
0.273%
0.343%
0.372%
0.406%
0.505%
0.590%
0.622%
0.715%
0.825%
0.892%
0.914%
1.015%
1.098%
1.273%
1.361%
1.434%
1.517%
1.588%
1.631%
1.730%
1.802%
1.864%
1.988%
2.106%
2.214%
2.316%
2.409%
2.497%
2.578%
2.654%
2.724%
3.082%
3.266%
3.282%
3.296%
3.325%
3.337%
3.335%
3.304%
3.258%
3.237%
3.190%
0.008%
0.304%
0.532%
0.667%
0.721%
0.787%
0.972%
1.129%
1.188%
1.357%
1.553%
1.671%
1.709%
1.882%
2.022%
2.308%
2.447%
2.561%
2.687%
2.791%
2.854%
2.993%
3.091%
3.174%
3.333%
3.473%
3.593%
3.698%
3.786%
3.862%
3.923%
3.973%
4.012%
4.050%
3.832%
3.789%
3.744%
3.602%
3.502%
3.144%
2.895%
2.664%
2.577%
2.413%
0.002%
0.000%
0.001%
0.001%
0.001%
0.001%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.31
0.56
0.71
0.78
0.85
1.02
1.25
1.30
1.52
1.79
1.97
1.94
2.23
2.45
2.82
3.18
3.30
3.65
3.69
3.93
4.21
4.59
4.53
4.96
5.29
5.70
6.00
6.43
6.77
7.29
7.60
8.15
9.20
11.05
11.33
12.19
12.00
12.71
14.86
16.13
17.21
17.19
19.34
99.95
99.85
99.75
100.68
102.63
104.81
100.52
104.52
106.67
106.25
100.22
107.34
105.73
106.69
108.93
102.88
109.73
103.64
108.47
103.52
106.62
99.76
107.85
110.50
109.28
112.32
110.88
112.59
109.06
107.00
104.75
102.29
133.67
140.86
130.26
119.15
140.82
131.28
122.83
112.03
118.24
128.51
101.18
0.14
0.23
0.26
0.26
0.24
0.13
0.20
0.10
0.15
0.06
0.04
-0.05
-0.18
-0.20
-0.24
-0.44
-0.19
-0.25
-0.17
-0.07
-0.12
-0.14
-0.02
0.00
0.18
0.22
0.47
0.54
0.71
0.68
0.63
0.27
-1.08
-0.64
-0.16
-0.35
-0.93
-0.10
-0.17
0.03
-0.21
0.21
0.58
3-Dec-10
100.00
DE0001115582
0.0000%
30-Mar-11
99.82
DE0001115640
0.0000%
29-Jun-11
99.62
DE0001115681
0.0000%
24-Aug-11
99.50
DE0001137271
1.2500%
16-Sep-11
100.42
DE0001141497
3.5000%
14-Oct-11
102.39
DE0001135192
5.0000%
4-Jan-12
104.68
DE0001137297
1.0000%
16-Mar-12
100.32
DE0001141505
4.0000%
13-Apr-12
104.42
DE0001135200
5.0000%
4-Jul-12
106.52
DE0001141513
4.2500%
12-Oct-12
106.19
DE0001137321
1.0000%
14-Dec-12
100.18
DE0001135218
4.5000%
4-Jan-13
107.39
DE0001141521
3.5000%
12-Apr-13
105.91
DE0001135234
3.7500%
4-Jul-13
106.89
DE0001135242
4.2500%
4-Jan-14
109.17
DE0001141547
2.2500%
11-Apr-14
103.32
DE0001135259
4.2500%
4-Jul-14
109.92
DE0001141554
2.5000%
10-Oct-14
103.89
DE0001135267
3.7500%
4-Jan-15
108.64
DE0001141562
2.5000%
27-Feb-15
103.59
DE0001135283
3.2500%
4-Jul-15
106.74
DE0001141588
1.7500%
9-Oct-15
99.90
DE0001135291
3.5000%
4-Jan-16
107.87
DE0001135309
4.0000%
4-Jul-16
110.50
DE0001135317
3.7500%
4-Jan-17
109.10
DE0001135333
4.2500%
4-Jul-17
DE0001135341
4.0000%
4-Jan-18
DE0001135358
4.2500%
4-Jul-18
112.05
DE0001135374
3.7500%
4-Jan-19
108.35
DE0001135382
3.5000%
4-Jul-19
106.32
DE0001135390
3.2500%
4-Jan-20
104.12
DE0001135408
3.0000%
5-Jul-20
102.02
DE0001134922
6.2500%
4-Jan-24
134.75
DE0001135044
6.5000%
4-Jul-27
141.50
DE0001135069
5.6250%
4-Jan-28
130.42
DE0001135085
4.7500%
4-Jul-28
119.50
DE0001135143
6.2500%
4-Jan-30
141.75
DE0001135176
5.5000%
4-Jan-31
131.38
DE0001135226
4.7500%
4-Jul-34
123.00
DE0001135275
4.0000%
4-Jan-37
DE0001135325
4.2500%
4-Jul-39
118.45
DE0001135366
4.7500%
4-Jul-40
128.30
DE0001135432
3.2500%
4-Jul-42
100.60
0.675%
0.624%
0.745%
0.696%
0.808%
0.856%
0.909%
0.892%
0.939%
1.021%
1.196%
1.229%
1.383%
1.451%
1.546%
1.613%
1.704%
1.771%
1.861%
1.989%
2.137%
2.247%
2.383%
2.483%
2.590%
2.664%
2.731%
2.756%
2.998%
3.226%
3.271%
3.272%
3.273%
3.331%
3.326%
3.306%
3.248%
3.246%
3.219%
112.10
110.41
112.00
Yi2
bp
3.5%
3.0%
3.0%
2.5%
2.5%
2.0%
2.0%
1.5%
Yield curve
Adjus ted Yield
1.5%
1.0%
1.0%
0.5%
0.5%
0.0%
0.0%
0
10
15
20
25
30
4.0%
3.5%
E(Yi2 )
43.97
The 1st 3 are t bills that's why we calculate it differently
PA = CFA/(1+R(1))^1 + CFA/(1+R(2))^2 + ....
41.34
AT THE SAME TIME I DO
36.35
PB = CFB/(1+R(1))^1 + CFB/(1+R(2))^2
33.93
THE R is given to me by the svensson equation
27.80
13.04
Again in the svensson price we have to make adjustemnts for the odd bonds
15.75
7.86
oddfirst is for the 1st coupon payment being odd. If the situation is in the last one you use odd lprice
10.09
3.31
1.79
-2.46
-8.23
-8.32
-8.68
-13.75
-5.74
-6.94
-4.68
-1.90
-2.79
-3.04
-0.40
0.05
3.48
3.85
7.77
8.45
10.46
9.33
8.27
3.29
-11.71
-5.75
-1.45
-2.88
-7.76
1 basis
point on a running basis in price terms is 19 cents in this case
-0.77
-1.11 This allows us to quantify risk. 5 bp means 1%
0.18
-1.21
1.21
2.98
Estimated Forwards
4.5%
4.0%
Yield Move
Maturity
10
15
20
25
30
DBR
Theoretical Price model
2-Dec-10
Bond
DE0001115582
BUBILL
DE0001115640
BUBILL
DE0001115681
BUBILL
DE0001137271
DBR
DE0001141497
OBL
DE0001135192
DBR
DE0001137297
BKO
DE0001141505
OBL
DE0001135200
DBR
DE0001141513
OBL
DE0001137321
BKO
DE0001135218
DBR
DE0001141521
OBL
DE0001135234
DBR
DE0001135242
DBR
DE0001141547
OBL
DE0001135259
DBR
DE0001141554
OBL
DE0001135267
DBR
DE0001141562
OBL
DE0001135283
DBR
DE0001141588
OBL
DE0001135291
DBR
DE0001135309
DBR
DE0001135317
DBR
DE0001135333
DBR
DE0001135341
DBR
DE0001135358
DBR
DE0001135374
DBR
DE0001135382
DBR
DE0001135390
DBR
DE0001135408
DBR
DE0001134922
DBR
DE0001135044
DBR
DE0001135069
DBR
DE0001135085
DBR
DE0001135143
DBR
DE0001135176
DBR
DE0001135226
DBR
DE0001135275
DBR
DE0001135325
DBR
DE0001135366
DBR
DE0001135432
DBR
0.000%
0.000%
0.000%
0.000%
1.250%
3.500%
5.000%
1.000%
4.000%
5.000%
4.250%
1.000%
4.500%
3.500%
3.750%
4.250%
2.250%
4.250%
2.500%
3.750%
2.500%
3.250%
1.750%
3.500%
4.000%
3.750%
4.250%
4.000%
4.250%
3.750%
3.500%
3.250%
3.000%
6.250%
6.500%
5.625%
4.750%
6.250%
5.500%
4.750%
4.000%
4.250%
4.750%
3.250%
Maturity
Yield
Life
3-Dec-10
30-Mar-11
29-Jun-11
24-Aug-11
16-Sep-11
14-Oct-11
4-Jan-12
16-Mar-12
13-Apr-12
4-Jul-12
12-Oct-12
14-Dec-12
4-Jan-13
12-Apr-13
4-Jul-13
4-Jan-14
11-Apr-14
4-Jul-14
10-Oct-14
4-Jan-15
27-Feb-15
4-Jul-15
9-Oct-15
4-Jan-16
4-Jul-16
4-Jan-17
4-Jul-17
4-Jan-18
4-Jul-18
4-Jan-19
4-Jul-19
4-Jan-20
5-Jul-20
4-Jan-24
4-Jul-27
4-Jan-28
4-Jul-28
4-Jan-30
4-Jan-31
4-Jul-34
4-Jan-37
4-Jul-39
4-Jul-40
4-Jul-42
0.50%
0.59%
0.68%
0.70%
0.71%
0.68%
0.62%
0.75%
0.70%
0.81%
0.86%
0.91%
0.89%
0.94%
1.02%
1.20%
1.23%
1.38%
1.45%
1.55%
1.61%
1.70%
1.77%
1.86%
1.99%
2.14%
2.25%
2.38%
2.48%
2.59%
2.66%
2.73%
2.75%
3.00%
3.23%
3.27%
3.27%
3.27%
3.33%
3.33%
3.31%
3.25%
3.25%
3.22%
0.00
0.32
0.57
0.73
0.79
0.87
1.09
1.29
1.36
1.59
1.86
2.03
2.09
2.36
2.59
3.09
3.36
3.59
3.85
4.09
4.24
4.59
4.85
5.09
5.59
6.09
6.59
7.09
7.59
8.09
8.59
9.09
9.59
13.09
16.59
17.09
17.59
19.09
20.09
23.59
26.09
28.59
29.59
31.59
Dur.
Cvex.
Mid Price
Theo. Price
Diff.
ytm
Svensson
Discount
Svensson
bp Spread
Spot
Function
Forward
99.9986
99.82
99.62
99.50
100.42
102.39
104.68
100.32
104.42
106.52
106.19
100.18
107.39
105.91
106.89
109.17
103.32
109.92
103.89
108.64
103.59
106.74
99.90
107.87
110.50
109.10
112.10
110.41
112.05
108.35
106.32
104.12
102.02
134.75
141.50
130.42
119.50
141.75
131.38
123.00
112.00
118.45
128.30
100.60
3.0%
2.5%
2.0%
1.5%
1.0%
Yield curve
0.5%
0.0%
0.00
5.00
10.00
15.00
20.00
25.00
30.00
DBR
Theoretical Price model
2-Dec-10
Bond
DE0001115582
BUBILL
DE0001115640
BUBILL
DE0001115681
BUBILL
DE0001137271
DBR
DE0001141497
OBL
DE0001135192
DBR
DE0001137297
BKO
DE0001141505
OBL
DE0001135200
DBR
DE0001141513
OBL
DE0001137321
BKO
DE0001135218
DBR
DE0001141521
OBL
DE0001135234
DBR
DE0001135242
DBR
DE0001141547
OBL
DE0001135259
DBR
DE0001141554
OBL
DE0001135267
DBR
DE0001141562
OBL
DE0001135283
DBR
DE0001141588
OBL
DE0001135291
DBR
DE0001135309
DBR
DE0001135317
DBR
DE0001135333
DBR
DE0001135341
DBR
DE0001135358
DBR
DE0001135374
DBR
DE0001135382
DBR
DE0001135390
DBR
DE0001135408
DBR
DE0001134922
DBR
DE0001135044
DBR
DE0001135069
DBR
DE0001135085
DBR
DE0001135143
DBR
DE0001135176
DBR
DE0001135226
DBR
DE0001135275
DBR
DE0001135325
DBR
DE0001135366
DBR
DE0001135432
DBR
0.000%
0.000%
0.000%
0.000%
1.250%
3.500%
5.000%
1.000%
4.000%
5.000%
4.250%
1.000%
4.500%
3.500%
3.750%
4.250%
2.250%
4.250%
2.500%
3.750%
2.500%
3.250%
1.750%
3.500%
4.000%
3.750%
4.250%
4.000%
4.250%
3.750%
3.500%
3.250%
3.000%
6.250%
6.500%
5.625%
4.750%
6.250%
5.500%
4.750%
4.000%
4.250%
4.750%
3.250%
Maturity
Yield
Life
3-Dec-10
30-Mar-11
29-Jun-11
24-Aug-11
16-Sep-11
14-Oct-11
4-Jan-12
16-Mar-12
13-Apr-12
4-Jul-12
12-Oct-12
14-Dec-12
4-Jan-13
12-Apr-13
4-Jul-13
4-Jan-14
11-Apr-14
4-Jul-14
10-Oct-14
4-Jan-15
27-Feb-15
4-Jul-15
9-Oct-15
4-Jan-16
4-Jul-16
4-Jan-17
4-Jul-17
4-Jan-18
4-Jul-18
4-Jan-19
4-Jul-19
4-Jan-20
5-Jul-20
4-Jan-24
4-Jul-27
4-Jan-28
4-Jul-28
4-Jan-30
4-Jan-31
4-Jul-34
4-Jan-37
4-Jul-39
4-Jul-40
4-Jul-42
0.50%
0.59%
0.68%
0.70%
0.71%
0.68%
0.62%
0.75%
0.70%
0.81%
0.86%
0.91%
0.89%
0.94%
1.02%
1.20%
1.23%
1.38%
1.45%
1.55%
1.61%
1.70%
1.77%
1.86%
1.99%
2.14%
2.25%
2.38%
2.48%
2.59%
2.66%
2.73%
2.75%
3.00%
3.23%
3.27%
3.27%
3.27%
3.33%
3.33%
3.31%
3.25%
3.25%
3.22%
0.00
0.32
0.57
0.73
0.79
0.87
1.09
1.29
1.36
1.59
1.86
2.03
2.09
2.36
2.59
3.09
3.36
3.59
3.85
4.09
4.24
4.59
4.85
5.09
5.59
6.09
6.59
7.09
7.59
8.09
8.59
9.09
9.59
13.09
16.59
17.09
17.59
19.09
20.09
23.59
26.09
28.59
29.59
31.59
Dur.
Cvex.
Mid Price
Theo. Price
Diff.
ytm
Svensson
Discount
Svensson
bp Spread
Spot
Function
Forward
99.9986
99.82
99.62
99.50
100.42
102.39
104.68
100.32
104.42
106.52
106.19
100.18
107.39
105.91
106.89
109.17
103.32
109.92
103.89
108.64
103.59
106.74
99.90
107.87
110.50
109.10
112.10
110.41
112.05
108.35
106.32
104.12
102.02
134.75
141.50
130.42
119.50
141.75
131.38
123.00
112.00
118.45
128.30
100.60
3.0%
2.5%
2.0%
1.5%
1.0%
Yield curve
0.5%
0.0%
0.00
5.00
10.00
15.00
20.00
25.00
30.00