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Assignment 2

- The document presents a table showing the current interest rate of 7% and projected liability amounts in thousands of rupees from 2013 to 2043 for a bond portfolio. - The net present value of the portfolio is calculated to be Rs. 4,921,135.96. - Key metrics including duration and convexity are provided for the overall portfolio and individual bonds that make up the portfolio.

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Vivek Kumar
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© Attribution Non-Commercial (BY-NC)
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59 views9 pages

Assignment 2

- The document presents a table showing the current interest rate of 7% and projected liability amounts in thousands of rupees from 2013 to 2043 for a bond portfolio. - The net present value of the portfolio is calculated to be Rs. 4,921,135.96. - Key metrics including duration and convexity are provided for the overall portfolio and individual bonds that make up the portfolio.

Uploaded by

Vivek Kumar
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLSX, PDF, TXT or read online on Scribd
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Current Interest Rate

7.00%

0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31

Year

Liability
(in '000 of Rs)

2013
2014
2015
2016
2017
2018
2019
2020
2021
2022
2023
2024
2025
2026
2027
2028
2029
2030
2031
2032
2033
2034
2035
2036
2037
2038
2039
2040
2041
2042
2043

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
3,000,000.00
3,000,000.00
3,000,000.00
3,000,000.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

NPV

4921135.96

# of
Total Value of

Duration of
Convexity of

Total
Bond 3
B1

B2

B3

B4

B5

0.00
680.00
680.00
680.00
680.00
680.00
680.00
680.00
680.00
680.00
10,680.00

0.00
700.00
700.00
700.00
700.00
700.00
700.00
700.00
700.00
700.00
700.00
700.00
700.00
700.00
700.00
10,700.00

0.00
600.00
600.00
600.00
600.00
600.00
600.00
600.00
600.00
600.00
600.00
600.00
600.00
600.00
600.00
600.00
600.00
600.00
600.00
600.00
600.00
600.00
600.00
600.00
600.00
600.00
600.00
600.00
600.00
600.00
10,600.00

0.00
1,000.00
1,000.00
1,000.00
1,000.00
11,000.00

0.00
1,200.00
1,200.00
1,200.00
1,200.00
1,200.00
1,200.00
1,200.00
11,200.00

10612.31711

10819.38026

9628.692914

12034.53564

13943.17138

1726.12
18318120.24

0.00

0.00
0.00

0.00
0.00

-1074.35
0.00

-14979895.79

129481748.66
1200362138.41

0.00
0.00

0.00
0.00

0.00
0.00

-82310830.53
-614484773.97

475

Duration

B6
0.00
475.00
475.00
475.00
475.00
475.00
475.00
475.00
475.00
475.00
475.00
475.00
475.00
475.00
475.00
475.00
475.00
475.00
475.00
475.00
475.00
475.00
475.00
475.00
475.00
475.00
475.00
475.00
475.00
475.00
5,475.00

Rate

7.00%

6.98%
6.96%
6.94%
6.92%
6.89%
6.87%
6.85%
6.83%
6.81%
6.79%
6.77%
6.75%
6.73%
6.71%
6.69%
6.67%
6.65%
6.63%
6.61%
6.59%
6.57%
6.55%
6.53%
6.51%
6.49%
6.47%
6.45%
6.43%
6.41%

7176.631495

220.56
1582911.51 Portfolio NPV

DF

Liability

B1

B2

B3

1
1
0.934765671
0.873960483
0.817272484
0.764412455
0.715112192
0.669122938
0.62621392
0.586171014
0.548795498
0.513902913
0.481322006
0.450893749
0.422470443
0.395914881
0.371099581
0.347906071
0.326224233
0.305951695
0.286993264
0.269260412
0.25267079
0.237147779
0.222620087
0.209021357
0.196289819
0.184367962
0.173202226
0.162742727
0.152942993

0
0
0
0
0
0
0
0
0
0
0
0
0
3.339563301
3.369740663
3.383492342
3.382848588
0
0
0
0
0
0
0
0
0
0
0
0
0
0

0
0.059885
0.111956
0.15701
0.195768
0.228883
0.256945
0.280491
0.300004
0.315923
5.161641
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

0
0.060466
0.113043
0.158535
0.197669
0.231105
0.25944
0.283215
0.302918
0.318991
0.331835
0.341811
0.349244
0.354429
0.357632
5.488968
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

0
0.058237
0.108876
0.152691
0.190382
0.222586
0.249877
0.272775
0.291751
0.307232
0.319603
0.329211
0.33637
0.341364
0.344449
0.345854
0.345789
0.344438
0.341971
0.338537
0.334273
0.3293
0.323726
0.317649
0.311154
0.30432
0.297215
0.289901
0.282431
0.274853
4.720691

13.47564489 7.068506 9.149301 13.02751

Target
4921135.96 4,921,135.96

0.00

19144562.56 Port. Duration


375097688.49 Port. Convexity

13.48
195.28

13.48
195.28

0.00
0.00

Duration

Convexity

B4

B5

B6

Liability

B1

B2

B3

B4

B5

0
0.077658
0.145184
0.20361
0.253871
3.264956
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

0
0.080433
0.150373
0.210887
0.262944
0.307421
0.345113
0.376738
3.760845
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

0
0.061857
0.115644
0.162182
0.202216
0.236421
0.265408
0.28973
0.309886
0.326329
0.339469
0.349674
0.357278
0.362582
0.365859
0.367352
0.367282
0.365848
0.363227
0.35958
0.355051
0.349769
0.343848
0.337393
0.330495
0.323236
0.31569
0.30792
0.299986
0.291937
3.271377

0
0
0
0
0
0
0
0
0
0
0
0
0
43.69522
47.23936
50.59428
53.74619
0
0
0
0
0
0
0
0
0
0
0
0
0
0

0
0.111934
0.313896
0.586954
0.914804
1.283454
1.680949
2.097129
2.523401
2.952555
53.0636
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

0
0.113021
0.316944
0.592654
0.923687
1.295917
1.697272
2.117493
2.547905
2.981226
3.41139
3.833391
4.24315
4.637391
5.013531
82.07803
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

0
0.108854
0.30526
0.570807
0.889638
1.248146
1.634707
2.039437
2.453983
2.871331
3.285637
3.692082
4.086737
4.466445
4.82872
5.171654
5.493836
5.794284
6.072376
6.327801
6.560506
6.770657
6.958601
7.12483
7.269959
7.394697
7.499827
7.586188
7.654659
7.706145
136.7677

0
0.145155
0.407059
0.76116
1.186315
18.30816
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

0
0.150343
0.421605
0.788361
1.228709
1.723857
2.257749
2.816736
31.63327
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0

3.94528 5.494753 12.09452

195.275 65.52867

115.803 270.6355 20.80785 41.02063

B6
0
0.115621
0.324235
0.606287
0.944936
1.325728
1.736316
2.166204
2.606517
3.049806
3.489865
3.921574
4.340759
4.744069
5.128862
5.493112
5.835321
6.154444
6.449822
6.721123
6.968293
7.191507
7.391132
7.567694
7.721844
7.854335
7.966
8.057729
8.130456
8.185143
94.7782
236.9669

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