Page 1
TIME C(t) TIME0.5 960000 0.90909090909 872727.2727 0.01813 0.51 960000 0.82644628099 793388.4298 0.03296 11.5 960000 0.7513148009 721262.2089 0.04494 1.52 960000 0.68301345537 655692.9172 0.05448 22.5 960000 0.62092132306 596084.4701 0.06191 2.53 960000 0.56447393005 541894.9729 0.06753 33.5 960000 0.51315811823 492631.7935 0.07163 3.54 960000 0.46650738021 447847.085 0.07442 44.5 960000 0.42409761837 407133.7136 0.07611 4.55 48096000 0.38554328943 18543090 3.85163 5
24071752.91 4.35373689906P 24071752.912Duration 4.354Volatility 3.958
TIME C(t) TIME0.5 960000 0.92592592593 888888.8889 0.01572 0.51 960000 0.8573388203 823045.2675 0.02911 11.5 960000 0.79383224102 762078.9514 0.04043 1.52 960000 0.7350298528 705628.6587 0.04991 22.5 960000 0.68058319703 653359.8692 0.05777 2.53 960000 0.63016962688 604962.8418 0.06419 33.5 960000 0.58349039526 560150.7795 0.06934 3.54 960000 0.5402688845 518658.1291 0.07337 44.5 960000 0.50024896713 480239.0084 0.07643 4.55 48096000 0.46319348808 22277754 3.93951 5
28274766.397 4.415780406362P 28274766.397
Duration 4.416Volatility 4.089
TIME C(t) TIME0.5 960000 0.89285714286 857142.8571 0.02080 0.51 960000 0.79719387755 765306.1224 0.03715 11.5 960000 0.71178024781 683309.0379 0.04975 1.52 960000 0.6355180784 610097.3553 0.05923 22.5 960000 0.56742685572 544729.7815 0.06611 2.53 960000 0.50663112118 486365.8763 0.07083 33.5 960000 0.45234921534 434255.2467 0.07378 3.54 960000 0.40388322798 387727.8989 0.07528 44.5 960000 0.36061002498 346185.624 0.07562 4.55 48096000 0.32197323659 15485624.79 3.75851 5
BOND DURATION&VOLATILITY AT 10%, 8% AND 12% WITH FACE $48,000,000 AND COUPON 4 1/2
BOND DURATION&VOLATILITY AT 10%, 8% AND 12% WITH FACE $32,000,000 AND COUPON 4 1/2
PVIF@10% PV(CT) T´Pv (CT)/P
PVIF@8% PV(CT) T´Pv (CT)/P
PVIF@12% PV(CT) T´Pv (CT)/P
Page 2
20600744.587 4.287064563587P 20600744.587Duration 4.287Volatility 3.828
Page 3
C(t) TIME C(t)1320000 0.90909090909 1200000 0.02934 0.5 63125001320000 0.82644628099 1090909.09090909 0.05335 1 63125001320000 0.7513148009 991735.537190082 0.07275 1.5 63125001320000 0.68301345537 901577.761081893 0.08818 2 63125001320000 0.62092132306 819616.146438085 0.10021 2.5 63125001320000 0.56447393005 745105.587670986 0.10932 3 63125001320000 0.51315811823 677368.716064533 0.11594 3.5 63125001320000 0.46650738021 615789.741876848 0.12046 4 63125001320000 0.42409761837 559808.85625168 0.12320 4.5 631250033320000 0.38554328943 12846302.403792 3.14118 5 106312500
20448213.8412752 3.954P 20448213.841 PDuration 3.954 DurationVolatility 3.594 Volatility
C(t) TIME C(t)1320000 0.92592592593 1222222.22222222 0.02581 0.5 63125001320000 0.8573388203 1131687.24279835 0.04779 1 63125001320000 0.79383224102 1047858.55814662 0.06638 1.5 63125001320000 0.7350298528 970239.405691318 0.08195 2 63125001320000 0.68058319703 898369.820084554 0.09485 2.5 63125001320000 0.63016962688 831823.907485698 0.10539 3 63125001320000 0.58349039526 770207.321746017 0.11384 3.5 63125001320000 0.5402688845 713154.927542608 0.12047 4 63125001320000 0.50024896713 660328.636613526 0.12549 4.5 631250033320000 0.46319348808 15433607.0229817 3.25885 5 106312500
23679499.0653126 4.0408084786P 23679499.065 PDuration 4.041 DurationVolatility 3.741 Volatility
C(t) TIME C(t)1320000 0.89285714286 1178571.42857143 0.03318 0.5 63125001320000 0.79719387755 1052295.91836735 0.05925 1 63125001320000 0.71178024781 939549.927113702 0.07935 1.5 63125001320000 0.6355180784 838883.863494377 0.09446 2 63125001320000 0.56742685572 749003.449548551 0.10543 2.5 63125001320000 0.50663112118 668753.079954063 0.11296 3 63125001320000 0.45234921534 597100.964244699 0.11766 3.5 63125001320000 0.40388322798 533125.860932767 0.12006 4 63125001320000 0.36061002498 476005.232975685 0.12060 4.5 631250033320000 0.32197323659 10728148.243202 3.02007 5 106312500
BOND DURATION&VOLATILITY AT 10%, 8% AND 12% WITH FACE $32,000,000 AND COUPON 4 1/2
BOND DURATION&VOLATILITY AT 10%, 8% AND 12% WITH FACE $100,000,000 AND COUPON 4 1/2
PVIF@10% PV(CT) T´Pv (CT)/P
PVIF@8% PV(CT) T´Pv (CT)/P
PVIF@12% PV(CT) T´Pv (CT)/P
Page 4
17761437.9684046 3.8630072531P 17761437.968 PDuration 3.863 DurationVolatility 3.449 Volatility
Page 5
0.90909090909 5738636.3636 0.037100.82644628099 5216942.1488 0.067450.7513148009 4742674.6807 0.091980.68301345537 4311522.437 0.111490.62092132306 3919565.8518 0.126700.56447393005 3563241.6835 0.138210.51315811823 3239310.6213 0.146590.46650738021 2944827.8376 0.152300.42409761837 2677116.216 0.155760.38554328943 40988070.957 2.64980
77341908.7977 3.67777341908.798
3.6773.343
0.92592592593 5844907.4074 0.032960.8573388203 5411951.3032 0.061030.79383224102 5011066.0214 0.084760.7350298528 4639875.9458 0.104650.68058319703 4296181.4313 0.121120.63016962688 3977945.7697 0.134580.58349039526 3683283.1201 0.145380.5402688845 3410447.3334 0.153840.50024896713 3157821.605 0.160250.46319348808 49243257.702 2.77656
88676737.6393 3.77511421588676737.639
3.7753.495
0.89285714286 5636160.7143 0.041530.79719387755 5032286.352 0.074150.71178024781 4493112.8143 0.099310.6355180784 4011707.8699 0.118230.56742685572 3581882.0267 0.131950.50663112118 3198108.9524 0.141380.45234921534 2855454.4218 0.147270.40388322798 2549512.8766 0.150270.36061002498 2276350.7827 0.150940.32197323659 34229779.715 2.52193
BOND DURATION&VOLATILITY AT 10%, 8% AND 12% WITH FACE $100,000,000 AND COUPON 4 1/2
PVIF@10% PV(CT) T´Pv (CT)/P
PVIF@8% PV(CT) T´Pv (CT)/P
PVIF@12% PV(CT) T´Pv (CT)/P
Page 6
67864356.5259 3.5769454767864356.526
3.5773.194
Page 7
TIME C(t) PVIF@10% TIME C(t)0.5 960000 0.9090909091 872727.27273 0.03698 0.5 13200001 960000 0.826446281 793388.42975 0.06723 1 13200001.5 960000 0.7513148009 721262.20887 0.09168 1.5 13200002 960000 0.6830134554 655692.91715 0.11113 2 13200002.5 960000 0.6209213231 596084.47014 0.12628 2.5 13200003 960000 0.5644739301 541894.97285 0.13776 3 13200003.5 960000 0.5131581182 492631.7935 0.14611 3.5 13200004 960000 0.4665073802 447847.085 0.15180 4 13200004.5 960000 0.4240976184 407133.71364 0.15525 4.5 13200005 960000 0.3855432894 370121.55785 0.15682 5 13200005.5 960000 0.3504938995 336474.1435 0.15682 5.5 13200006 960000 0.3186308177 305885.585 0.15553 6 13200006.5 960000 0.2896643797 278077.80455 0.15317 6.5 13200007 960000 0.2633312543 252798.00413 0.14996 7 13200007.5 960000 0.2393920494 229816.36739 0.14606 7.5 13200008 960000 0.2176291358 208923.97036 0.14164 8 13200008.5 960000 0.1978446689 189930.88214 0.13681 8.5 13200009 960000 0.1798587899 172664.43831 0.13169 9 13200009.5 960000 0.1635079908 156967.67119 0.12637 9.5 132000010 960000 0.148643628 142697.8829 0.12092 10 132000010.5 960000 0.1351305709 129725.34809 0.11543 10.5 132000011 960000 0.1228459736 117932.13463 0.10993 11 132000011.5 960000 0.1116781578 107211.03148 0.10448 11.5 132000012 960000 0.101525598 97464.574075 0.09911 12 132000012.5 960000 0.0922959982 88604.15825 0.09386 12.5 132000013 960000 0.0839054529 80549.234773 0.08874 13 132000013.5 960000 0.0762776844 73226.577066 0.08377 13.5 132000014 960000 0.0693433495 66569.615515 0.07898 14 132000014.5 960000 0.0630394086 60517.832286 0.07436 14.5 132000015 48960000 0.0573085533 2805826.7696 3.56653 15 33320000
11800648.45 7.02P 11800648.45 PDURATION 7.02 DURATIONVOLATILITY 6.377 VOLATILITY
TIME C(t) PVIF@8% TIME C(t)0.5 960000 0.9259259259 888888.88889 0.02853 0.5 13200001 960000 0.8573388203 823045.26749 0.05284 1 13200001.5 960000 0.793832241 762078.95138 0.07338 1.5 13200002 960000 0.7350298528 705628.65868 0.09060 2 13200002.5 960000 0.680583197 653359.86915 0.10486 2.5 1320000
BOND DURATION&VOLATILITY AT 10%, 8% AND 12% WITH FACE $48,000,000 AND COUPON 4 1/2
BOND DURATION&VOLATILITY AT 10%, 8% AND 12% WITH FACE $32,000,000 AND COUPON 4 1/2
PV(CT) T´Pv (CT)/P
PV(CT) T´Pv (CT)/P
Page 8
3 960000 0.6301696269 604962.84181 0.11651 3 13200003.5 960000 0.5834903953 560150.77945 0.12586 3.5 13200004 960000 0.5402688845 518658.12912 0.13318 4 13200004.5 960000 0.5002489671 480239.00845 0.13873 4.5 13200005 960000 0.4631934881 444665.74856 0.14273 5 13200005.5 960000 0.4288828593 411727.54496 0.14537 5.5 13200006 960000 0.3971137586 381229.2083 0.14684 6 13200006.5 960000 0.3676979247 352990.00769 0.14729 6.5 13200007 960000 0.3404610414 326842.59971 0.14687 7 13200007.5 960000 0.315241705 302632.03677 0.14571 7.5 13200008 960000 0.2918904676 280214.84886 0.14391 8 13200008.5 960000 0.2702689514 259458.19339 0.14157 8.5 13200009 960000 0.2502490291 240239.06795 0.13880 9 13200009.5 960000 0.231712064 222443.58144 0.13566 9.5 132000010 960000 0.2145482074 205966.27911 0.13222 10 132000010.5 960000 0.1986557476 190709.51769 0.12855 10.5 132000011 960000 0.183940507 176582.88675 0.12469 11 132000011.5 960000 0.1703152843 163502.67292 0.12070 11.5 132000012 960000 0.1576993373 151391.36381 0.11662 12 132000012.5 960000 0.1460179049 140177.18872 0.11248 12.5 132000013 960000 0.1352017638 129793.69326 0.10832 13 132000013.5 960000 0.1251868183 120179.34561 0.10415 13.5 132000014 960000 0.1159137207 111277.17186 0.10001 14 132000014.5 960000 0.1073275192 103034.41839 0.09591 14.5 132000015 48960000 0.0993773325 4865514.2016 4.68511 15 33320000
15577583.97 8.13P 15577583.97 PDURATION 8.13 DURATIONVOLATILITY 7.526 VOLATILITY
TIME C(t) PVIF@12% TIME C(t)0.5 960000 0.8928571429 857142.85714 0.04591 0.5 13200001 960000 0.7971938776 765306.12245 0.08198 1 13200001.5 960000 0.7117802478 683309.0379 0.10980 1.5 13200002 960000 0.6355180784 610097.35527 0.13071 2 13200002.5 960000 0.5674268557 544729.78149 0.14588 2.5 13200003 960000 0.5066311212 486365.87633 0.15630 3 13200003.5 960000 0.4523492153 434255.24672 0.16281 3.5 13200004 960000 0.403883228 387727.89886 0.16614 4 13200004.5 960000 0.360610025 346185.62398 0.16688 4.5 13200005 960000 0.3219732366 309094.30713 0.16555 5 13200005.5 960000 0.2874761041 275977.05993 0.16260 5.5 13200006 960000 0.2566750929 246408.08923 0.15837 6 13200006.5 960000 0.2291741901 220007.22252 0.15319 6.5 13200007 960000 0.2046198126 196435.02011 0.14730 7 1320000
PV(CT) T´Pv (CT)/P
Page 9
7.5 960000 0.1826962613 175388.41081 0.14091 7.5 13200008 960000 0.1631216618 156596.79537 0.13420 8 13200008.5 960000 0.1456443409 139818.56729 0.12731 8.5 13200009 960000 0.1300395901 124838.00651 0.12036 9 13200009.5 960000 0.1161067769 111462.50581 0.11343 9.5 132000010 960000 0.1036667651 99520.094477 0.10661 10 132000010.5 960000 0.0925596117 88857.227212 0.09995 10.5 132000011 960000 0.0826425104 79336.810011 0.09349 11 132000011.5 960000 0.0737879557 70836.43751 0.08726 11.5 132000012 960000 0.0658821033 63246.819205 0.08130 12 132000012.5 960000 0.0588233066 56470.37429 0.07562 12.5 132000013 960000 0.0525208094 50419.977045 0.07021 13 132000013.5 960000 0.0468935798 45017.836647 0.06510 13.5 132000014 960000 0.0418692677 40194.497006 0.06028 14 132000014.5 960000 0.0373832747 35887.943756 0.05574 14.5 132000015 48960000 0.0333779239 1634183.1532 2.62586 15 33320000
9335116.96 6.01P 9335116.96 PDURATION 6.01 DURATIONVOLATILITY 5.367 VOLATILITY
Page 10
PVIF@10% TIME C(t)0.90909091 1200000 0.04202 0.5 6312500 0.90909091 5738636.36360.82644628 1090909.1 0.07641 1 6312500 0.82644628 5216942.14880.7513148 991735.54 0.10419 1.5 6312500 0.7513148 4742674.68070.68301346 901577.76 0.12629 2 6312500 0.68301346 4311522.4370.62092132 819616.15 0.14352 2.5 6312500 0.62092132 3919565.85180.56447393 745105.59 0.15656 3 6312500 0.56447393 3563241.68350.51315812 677368.72 0.16605 3.5 6312500 0.51315812 3239310.62130.46650738 615789.74 0.17252 4 6312500 0.46650738 2944827.83760.42409762 559808.86 0.17644 4.5 6312500 0.42409762 2677116.2160.38554329 508917.14 0.17822 5 6312500 0.38554329 2433742.01450.3504939 462651.95 0.17822 5.5 6312500 0.3504939 2212492.74050.31863082 420592.68 0.17675 6 6312500 0.31863082 2011357.03680.28966438 382356.98 0.17407 6.5 6312500 0.28966438 1828506.39710.26333125 347597.26 0.17042 7 6312500 0.26333125 1662278.54280.23939205 315997.51 0.16600 7.5 6312500 0.23939205 1511162.31160.21762914 287270.46 0.16097 8 6312500 0.21762914 1373783.91970.19784467 261154.96 0.15548 8.5 6312500 0.19784467 1248894.47240.17985879 237413.6 0.14966 9 6312500 0.17985879 1135358.61130.16350799 215830.55 0.14361 9.5 6312500 0.16350799 1032144.19210.14864363 196209.59 0.13743 10 6312500 0.14864363 938312.90190.13513057 178372.35 0.13118 10.5 6312500 0.13513057 853011.7290.12284597 162156.69 0.12493 11 6312500 0.12284597 775465.208180.11167816 147415.17 0.11874 11.5 6312500 0.11167816 704968.371080.1015256 134013.79 0.11264 12 6312500 0.1015256 640880.337340.092296 121830.72 0.10666 12.5 6312500 0.092296 582618.488490.08390545 110755.2 0.10085 13 6312500 0.08390545 529653.171360.07627768 100686.54 0.09520 13.5 6312500 0.07627768 481502.883050.06934335 91533.221 0.08975 14 6312500 0.06934335 437729.893680.06303941 83212.019 0.08451 14.5 6312500 0.06303941 397936.266980.05730855 1909521 2.00616 15 106312500 0.05730855 6092615.5728
14277401 5.9254770693 65238252.90314277400.80 P 65238252.90
5.93 DURATION 5.505.387 VOLATILITY 5.002
PVIF@8% TIME C(t) PVIF@8%0.92592593 1222222.2 0.03387 0.5 6312500 0.92592593 5844907.40740.85733882 1131687.2 0.06273 1 6312500 0.85733882 5411951.30320.79383224 1047858.6 0.08713 1.5 6312500 0.79383224 5011066.02140.73502985 970239.41 0.10756 2 6312500 0.73502985 4639875.94580.6805832 898369.82 0.12449 2.5 6312500 0.6805832 4296181.4313
BOND DURATION&VOLATILITY AT 10%, 8% AND 12% WITH FACE $32,000,000 AND COUPON 4 1/2
BOND DURATION&VOLATILITY AT 10%, 8% AND 12% WITH FACE $100,000,000 AND COUPON 4 1/2
PV(CT) T´Pv (CT)/P PVIF@10% PV(CT)
PV(CT) T´Pv (CT)/P PV(CT)
Page 11
0.63016963 831823.91 0.13833 3 6312500 0.63016963 3977945.76970.5834904 770207.32 0.14943 3.5 6312500 0.5834904 3683283.12010.54026888 713154.93 0.15812 4 6312500 0.54026888 3410447.33340.50024897 660328.64 0.16471 4.5 6312500 0.50024897 3157821.6050.46319349 611415.4 0.16946 5 6312500 0.46319349 2923908.89350.42888286 566125.37 0.17260 5.5 6312500 0.42888286 2707323.04960.39711376 524190.16 0.17434 6 6312500 0.39711376 2506780.60150.36769792 485361.26 0.17488 6.5 6312500 0.36769792 2321093.14950.34046104 449408.57 0.17438 7 6312500 0.34046104 2149160.32360.3152417 416119.05 0.17300 7.5 6312500 0.3152417 1989963.26260.29189047 385295.42 0.17086 8 6312500 0.29189047 1842558.57650.27026895 356755.02 0.16809 8.5 6312500 0.27026895 1706072.7560.25024903 330328.72 0.16479 9 6312500 0.25024903 1579696.99630.23171206 305859.92 0.16107 9.5 6312500 0.23171206 1462682.4040.21454821 283203.63 0.15698 10 6312500 0.21454821 1354335.55920.19865575 262225.59 0.15262 10.5 6312500 0.19865575 1254014.40670.18394051 242801.47 0.14805 11 6312500 0.18394051 1161124.45060.17031528 224816.18 0.14331 11.5 6312500 0.17031528 1075115.23210.15769934 208163.13 0.13847 12 6312500 0.15769934 995477.066740.1460179 192743.63 0.13355 12.5 6312500 0.1460179 921738.024760.13520176 178466.33 0.12860 13 6312500 0.13520176 853461.134040.12518682 165246.6 0.12366 13.5 6312500 0.12518682 790241.790780.11591372 153006.11 0.11874 14 6312500 0.11591372 731705.361830.10732752 141672.33 0.11387 14.5 6312500 0.10732752 677504.964660.09937733 3311252.7 2.75321 15 106312500 0.09937733 10565052.667
18040349 6.841 81002490.6118040348.65 P 81002490.61
6.84 DURATION 6.316.334 VOLATILITY 5.843
PVIF@12% TIME C(t) PVIF@12%0.89285714 1178571.4 0.05036 0.5 6312500 0.89285714 5636160.71430.79719388 1052295.9 0.08993 1 6312500 0.79719388 5032286.3520.71178025 939549.93 0.12045 1.5 6312500 0.71178025 4493112.81430.63551808 838883.86 0.14339 2 6312500 0.63551808 4011707.86990.56742686 749003.45 0.16003 2.5 6312500 0.56742686 3581882.02670.50663112 668753.08 0.17146 3 6312500 0.50663112 3198108.95240.45234922 597100.96 0.17861 3.5 6312500 0.45234922 2855454.42180.40388323 533125.86 0.18225 4 6312500 0.40388323 2549512.87660.36061002 476005.23 0.18306 4.5 6312500 0.36061002 2276350.78270.32197324 425004.67 0.18161 5 6312500 0.32197324 2032456.0560.2874761 379468.46 0.17837 5.5 6312500 0.2874761 1814692.90710.25667509 338811.12 0.17374 6 6312500 0.25667509 1620261.52420.22917419 302509.93 0.16805 6.5 6312500 0.22917419 1446662.07520.20461981 270098.15 0.16158 7 6312500 0.20461981 1291662.5671
PV(CT) T´Pv (CT)/P PV(CT)
Page 12
0.18269626 241159.06 0.15458 7.5 6312500 0.18269626 1153270.14920.16312166 215320.59 0.14722 8 6312500 0.16312166 1029705.49040.14564434 192250.53 0.13966 8.5 6312500 0.14564434 919379.902130.13003959 171652.26 0.13203 9 6312500 0.13003959 820874.912610.11610678 153260.95 0.12443 9.5 6312500 0.11610678 732924.029120.10366677 136840.13 0.11695 10 6312500 0.10366677 654396.454570.09255961 122178.69 0.10964 10.5 6312500 0.09255961 584282.548720.08264251 109088.11 0.10255 11 6312500 0.08264251 521680.847080.07378796 97400.102 0.09573 11.5 6312500 0.07378796 465786.47060.0658821 86964.376 0.08919 12 6312500 0.0658821 415880.777320.05882331 77646.765 0.08295 12.5 6312500 0.05882331 371322.122610.05252081 69327.468 0.07702 13 6312500 0.05252081 331537.609470.04689358 61899.525 0.07142 13.5 6312500 0.04689358 296015.722740.04186927 55267.433 0.06613 14 6312500 0.04186927 264299.752450.03738327 49345.923 0.06115 14.5 6312500 0.03738327 235981.921830.03337792 1112152.4 1.42572 15 106312500 0.03337792 3548490.5325
11700936 5.1392450313 54186141.18411700936.40 P 54186141.18
5.14 DURATION 4.824.759 VOLATILITY 4.301
Page 13
0.043980.079970.109050.132180.150200.163860.173790.180560.184660.186530.186530.184990.182180.178360.173730.168460.162720.156630.150300.143830.137290.130750.124270.117880.111630.105540.099640.093940.088451.40085
5.502745157
0.036080.066810.092790.114560.13259
BOND DURATION&VOLATILITY AT 10%, 8% AND 12% WITH FACE $100,000,000 AND COUPON 4 1/2
T´Pv (CT)/P
T´Pv (CT)/P
Page 14
0.147330.159150.168410.175430.180480.183820.185680.186250.185720.184250.181980.179030.175520.171540.167200.162550.157680.152640.147470.142240.136970.131700.126460.121281.95643
6.310061795
0.052010.092870.124380.148070.165260.177060.184440.188200.189040.187540.184190.179410.173540.16686
T´Pv (CT)/P
Page 15
0.159630.152020.144220.136340.128500.120770.113220.105900.098850.092100.085660.079540.073750.068290.063150.98231
4.817134168
Page 16
FACE VALUE COUPON MATURITY DISCOUNT RATE DURTION VOLATILITY
$48,000,000 4 1/2
58% 4.15 4.09
10% 4.35 3.9612% 4.29 3.83
158% 8.13 7.53
10% 7.02 6.3812% 6.01 5.37
$32,000,000 8 1/4
58% 4.04 3.74
10% 3.95 3.5912% 3.86 3.45
158% 6.84 6.33
10% 5.93 5.3912% 5.14 4.76
$100,000,000 12 5/8
58% 3.78 3.50
10% 3.68 3.3412% 3.58 3.19
158% 6.31 5.84
10% 5.50 5.0012% 4.82 4.30
Page 17
FACE VALUE COUPON MATURITY DISCOUNT RATE DURTION VOLATILITY
$48,000,000 4 1/2
58%
10%12%
158%
10%12%
$32,000,000 8 1/4
58%
10%12%
158%
10%12%
$100,000,000 12 5/8
58%
10%12%
158%
10%12%
Page 18
TIME C(t) PVIF@10%0.5 22.5 0.952 21.429 0.027 0.0141 22.5 0.907 20.408 0.026 0.0261.5 22.5 0.864 19.436 0.025 0.0372 22.5 0.823 18.511 0.024 0.0472.5 22.5 0.784 17.629 0.022 0.0563 22.5 0.746 16.790 0.021 0.0643.5 22.5 0.711 15.990 0.020 0.0714 22.5 0.677 15.229 0.019 0.0774.5 22.5 0.645 14.504 0.018 0.0835 1022.5 0.614 627.726 0.797 3.985
TOTALS 1225.000 7.722 787.652 1.000 4.459P 787.652Duration 4.459Volatility 4.247
TIME C(t) PVIF@8%0.5 22.5 0.962 21.635 0.025 0.0131 22.5 0.925 20.803 0.024 0.0241.5 22.5 0.889 20.002 0.023 0.0352 22.5 0.855 19.233 0.022 0.0452.5 22.5 0.822 18.493 0.022 0.0543 22.5 0.790 17.782 0.021 0.0623.5 22.5 0.760 17.098 0.020 0.0704 22.5 0.731 16.441 0.019 0.0774.5 22.5 0.703 15.808 0.018 0.0835 1022.5 0.676 690.764 0.805 4.025
TOTALS 1225.000 8.111 858.059 1.000 4.487P 858.059Duration 4.487Volatility 4.315
TIME C(t) PVIF@12%0.5 22.5 0.943 21.226 0.029 0.0151 22.5 0.890 20.025 0.028 0.0281.5 22.5 0.840 18.891 0.026 0.039
2 22.5 0.792 17.822 0.025 0.0492.5 22.5 0.747 16.813 0.023 0.0583 22.5 0.705 15.862 0.022 0.0663.5 22.5 0.665 14.964 0.021 0.0724 22.5 0.627 14.117 0.019 0.0784.5 22.5 0.592 13.318 0.018 0.0835 1022.5 0.558 570.959 0.789 3.943
BOND DURATION&VOLATILITY AT DISCOUNT RATES OF 10%, 8% AND 12% WITH FACE VALUE $1000, MATURITY 5 YEARS AND COUPON 4 1/2
PV(CT) Pv (CT)/P T´(Pv (CT)/P)
PV(CT) Pv (CT)/P T´(Pv (CT)/P)
PV(CT) Pv (CT)/P T´(Pv (CT)/P)
Page 19
TOTALS 1225.000 7.360 723.997 1.000 4.431P 723.997Duration 4.431Volatility 4.180
Page 20
-0.142196531796.96428571429
Page 21
TIME C(t) PVIF@10% TIME0.5 41.25 0.952 39.286 0.045 0.023 0.51 41.25 0.907 37.415 0.043 0.043 11.5 41.25 0.864 35.633 0.041 0.062 1.52 41.25 0.823 33.936 0.039 0.078 22.5 41.25 0.784 32.320 0.037 0.093 2.53 41.25 0.746 30.781 0.036 0.107 33.5 41.25 0.711 29.316 0.034 0.119 3.54 41.25 0.677 27.920 0.032 0.129 44.5 41.25 0.645 26.590 0.031 0.138 4.55 41.25 0.614 25.324 0.029 0.146 55.5 41.25 0.585 24.118 0.028 0.153 5.56 41.25 0.557 22.970 0.027 0.159 66.5 41.25 0.530 21.876 0.025 0.164 6.57 41.25 0.505 20.834 0.024 0.169 77.5 41.25 0.481 19.842 0.023 0.172 7.5
8 41.25 0.458 18.897 0.022 0.175 88.5 41.25 0.436 17.997 0.021 0.177 8.59 41.25 0.416 17.140 0.020 0.178 99.5 41.25 0.396 16.324 0.019 0.179 9.510 41.25 0.377 15.547 0.018 0.180 1010.5 41.25 0.359 14.806 0.017 0.180 10.511 41.25 0.342 14.101 0.016 0.179 1111.5 41.25 0.326 13.430 0.016 0.178 11.512 41.25 0.310 12.790 0.015 0.177 1212.5 41.25 0.295 12.181 0.014 0.176 12.513 41.25 0.281 11.601 0.013 0.174 1313.5 41.25 0.268 11.049 0.013 0.172 13.514 41.25 0.255 10.523 0.012 0.170 1414.5 41.25 0.243 10.022 0.012 0.168 14.515 1041.25 0.231 240.922 0.278 4.175 15
2237.500 15.372 865.491 1.000 8.395 15.5
P 865.491 16Duration 8.395 16.5Volatility 7.995 17
17.5
TIME C(t) PVIF@8% 180.5 41.25 0.962 39.663 0.039 0.019 18.51 41.25 0.925 38.138 0.037 0.037 191.5 41.25 0.889 36.671 0.036 0.054 19.52 41.25 0.855 35.261 0.035 0.069 202.5 41.25 0.822 33.904 0.033 0.083 20.53 41.25 0.790 32.600 0.032 0.096 21
BOND DURATION&VOLATILITY AT DISCOUNT RATES OF 10%, 8% AND 12% WITH FACE VALUE $1000, MATURITY 15 YEARS AND COUPON 8 1/4
BOND DURATION&VOLATILITY AT DISCOUNT RATES OF 10%, 8% AND 12% WITH FACE VALUE $1000, MATURITY 25 YEARS AND COUPON 12 5/8
PV(CT) Pv (CT)/P T´(Pv (CT)/P)
PV(CT) Pv (CT)/P T´(Pv (CT)/P)
Page 22
3.5 41.25 0.760 31.347 0.031 0.107 21.54 41.25 0.731 30.141 0.030 0.118 224.5 41.25 0.703 28.982 0.028 0.128 22.55 41.25 0.676 27.867 0.027 0.136 235.5 41.25 0.650 26.795 0.026 0.144 23.56 41.25 0.625 25.765 0.025 0.151 246.5 41.25 0.601 24.774 0.024 0.158 24.57 41.25 0.577 23.821 0.023 0.163 257.5 41.25 0.555 22.905 0.022 0.1688 41.25 0.534 22.024 0.022 0.1728.5 41.25 0.513 21.177 0.021 0.1769 41.25 0.494 20.362 0.020 0.1799.5 41.25 0.475 19.579 0.019 0.182
10 41.25 0.456 18.826 0.018 0.184 TIME10.5 41.25 0.439 18.102 0.018 0.186 0.511 41.25 0.422 17.406 0.017 0.187 111.5 41.25 0.406 16.736 0.016 0.188 1.512 41.25 0.390 16.093 0.016 0.189 212.5 41.25 0.375 15.474 0.015 0.189 2.513 41.25 0.361 14.878 0.015 0.189 313.5 41.25 0.347 14.306 0.014 0.189 3.514 41.25 0.333 13.756 0.013 0.189 414.5 41.25 0.321 13.227 0.013 0.188 4.515 1041.25 0.308 321.037 0.314 4.714 5
2237.500 17.292 1021.615 1.000 8.935 5.5P 1021.615 6Duration 8.935 6.5Volatility 8.592 7
7.5
TIME C(t) PVIF@12% 80.5 41.25 0.943 38.915 0.052 0.026 8.51 41.25 0.890 36.712 0.049 0.049 91.5 41.25 0.840 34.634 0.047 0.070 9.52 41.25 0.792 32.674 0.044 0.088 102.5 41.25 0.747 30.824 0.042 0.104 10.53 41.25 0.705 29.080 0.039 0.118 113.5 41.25 0.665 27.434 0.037 0.129 11.54 41.25 0.627 25.881 0.035 0.140 124.5 41.25 0.592 24.416 0.033 0.148 12.55 41.25 0.558 23.034 0.031 0.155 135.5 41.25 0.527 21.730 0.029 0.161 13.56 41.25 0.497 20.500 0.028 0.166 146.5 41.25 0.469 19.340 0.026 0.169 14.57 41.25 0.442 18.245 0.025 0.172 157.5 41.25 0.417 17.212 0.023 0.174 15.58 41.25 0.394 16.238 0.022 0.175 16
PV(CT) Pv (CT)/P T´(Pv (CT)/P)
Page 23
8.5 41.25 0.371 15.319 0.021 0.176 16.59 41.25 0.350 14.452 0.019 0.175 179.5 41.25 0.331 13.634 0.018 0.175 17.510 41.25 0.312 12.862 0.017 0.173 1810.5 41.25 0.294 12.134 0.016 0.172 18.511 41.25 0.278 11.447 0.015 0.170 1911.5 41.25 0.262 10.799 0.015 0.167 19.512 41.25 0.247 10.188 0.014 0.165 2012.5 41.25 0.233 9.611 0.013 0.162 20.513 41.25 0.220 9.067 0.012 0.159 2113.5 41.25 0.207 8.554 0.012 0.156 21.514 41.25 0.196 8.070 0.011 0.152 2214.5 41.25 0.185 7.613 0.010 0.149 22.515 1041.25 0.174 181.292 0.244 3.665 23
2237.500 13.765 741.909 1.000 7.860 23.5P 741.909 24Duration 7.860 24.5Volatility 7.415 25
TIME0.511.522.533.544.555.566.577.588.599.51010.511
Page 24
11.51212.51313.51414.51515.51616.51717.51818.51919.52020.52121.52222.52323.52424.525
Page 25
C(t) PVIF@10%63.125 0.952 60.119 0.052 0.02663.125 0.907 57.256 0.050 0.05063.125 0.864 54.530 0.047 0.07163.125 0.823 51.933 0.045 0.09063.125 0.784 49.460 0.043 0.10763.125 0.746 47.105 0.041 0.12363.125 0.711 44.862 0.039 0.13663.125 0.677 42.725 0.037 0.14863.125 0.645 40.691 0.035 0.15963.125 0.614 38.753 0.034 0.16863.125 0.585 36.908 0.032 0.17663.125 0.557 35.150 0.031 0.18363.125 0.530 33.477 0.029 0.18963.125 0.505 31.882 0.028 0.19463.125 0.481 30.364 0.026 0.198
63.125 0.458 28.918 0.025 0.20163.125 0.436 27.541 0.024 0.20363.125 0.416 26.230 0.023 0.20563.125 0.396 24.981 0.022 0.20663.125 0.377 23.791 0.021 0.20663.125 0.359 22.658 0.020 0.20663.125 0.342 21.579 0.019 0.20663.125 0.326 20.552 0.018 0.20563.125 0.310 19.573 0.017 0.20463.125 0.295 18.641 0.016 0.20263.125 0.281 17.753 0.015 0.20063.125 0.268 16.908 0.015 0.19863.125 0.255 16.103 0.014 0.19663.125 0.243 15.336 0.013 0.19363.125 0.231 14.606 0.013 0.19063.125 0.220 13.910 0.012 0.187
63.125 0.210 13.248 0.011 0.18463.125 0.200 12.617 0.011 0.18163.125 0.190 12.016 0.010 0.17763.125 0.181 11.444 0.010 0.174
63.125 0.173 10.899 0.009 0.17063.125 0.164 10.380 0.009 0.16763.125 0.157 9.886 0.009 0.16363.125 0.149 9.415 0.008 0.15963.125 0.142 8.967 0.008 0.15663.125 0.135 8.540 0.007 0.15263.125 0.129 8.133 0.007 0.148
BOND DURATION&VOLATILITY AT DISCOUNT RATES OF 10%, 8% AND 12% WITH FACE VALUE $1000, MATURITY 25 YEARS AND COUPON 12 5/8
PV(CT) Pv (CT)/P T´(Pv (CT)/P)
Page 26
63.125 0.123 7.746 0.007 0.14563.125 0.117 7.377 0.006 0.14163.125 0.111 7.026 0.006 0.13763.125 0.106 6.691 0.006 0.13463.125 0.101 6.372 0.006 0.13063.125 0.096 6.069 0.005 0.12663.125 0.092 5.780 0.005 0.12363.125 0.087 5.505 0.005 0.119
1152.405 1.000 8.112P 1152.405Duration 8.112Volatility 7.725
C(t) PVIF@8%63.125 0.962 60.697 0.045 0.02263.125 0.925 58.363 0.043 0.04363.125 0.889 56.118 0.041 0.06263.125 0.855 53.960 0.040 0.08063.125 0.822 51.884 0.038 0.09663.125 0.790 49.889 0.037 0.11063.125 0.760 47.970 0.035 0.12463.125 0.731 46.125 0.034 0.13663.125 0.703 44.351 0.033 0.14763.125 0.676 42.645 0.031 0.15763.125 0.650 41.005 0.030 0.16663.125 0.625 39.428 0.029 0.17463.125 0.601 37.911 0.028 0.18263.125 0.577 36.453 0.027 0.18863.125 0.555 35.051 0.026 0.194
63.125 0.534 33.703 0.025 0.19963.125 0.513 32.407 0.024 0.20363.125 0.494 31.160 0.023 0.20763.125 0.475 29.962 0.022 0.21063.125 0.456 28.809 0.021 0.21263.125 0.439 27.701 0.020 0.21463.125 0.422 26.636 0.020 0.21663.125 0.406 25.611 0.019 0.21763.125 0.390 24.626 0.018 0.21863.125 0.375 23.679 0.017 0.21863.125 0.361 22.769 0.017 0.21863.125 0.347 21.893 0.016 0.21863.125 0.333 21.051 0.016 0.21763.125 0.321 20.241 0.015 0.21663.125 0.308 19.463 0.014 0.21563.125 0.296 18.714 0.014 0.21463.125 0.285 17.994 0.013 0.212
PV(CT) Pv (CT)/P T´(Pv (CT)/P)
Page 27
63.125 0.274 17.302 0.013 0.21163.125 0.264 16.637 0.012 0.20963.125 0.253 15.997 0.012 0.20663.125 0.244 15.382 0.011 0.20463.125 0.234 14.790 0.011 0.20263.125 0.225 14.221 0.010 0.19963.125 0.217 13.674 0.010 0.19763.125 0.208 13.148 0.010 0.19463.125 0.200 12.643 0.009 0.19163.125 0.193 12.156 0.009 0.18863.125 0.185 11.689 0.009 0.18563.125 0.178 11.239 0.008 0.18263.125 0.171 10.807 0.008 0.17963.125 0.165 10.391 0.008 0.17663.125 0.158 9.992 0.007 0.17363.125 0.152 9.607 0.007 0.17063.125 0.146 9.238 0.007 0.16763.125 0.141 8.882 0.007 0.164
1356.063 1.000 8.906P 1356.063Duration 8.906Volatility 8.482
C(t)63.125 0.943 59.552 0.060 0.03063.125 0.890 56.181 0.056 0.05663.125 0.840 53.001 0.053 0.08063.125 0.792 50.001 0.050 0.10163.125 0.747 47.171 0.047 0.11963.125 0.705 44.501 0.045 0.13463.125 0.665 41.982 0.042 0.14863.125 0.627 39.605 0.040 0.15963.125 0.592 37.364 0.038 0.16963.125 0.558 35.249 0.035 0.17763.125 0.527 33.253 0.033 0.18463.125 0.497 31.371 0.032 0.18963.125 0.469 29.595 0.030 0.19363.125 0.442 27.920 0.028 0.19663.125 0.417 26.340 0.026 0.19963.125 0.394 24.849 0.025 0.20063.125 0.371 23.442 0.024 0.20063.125 0.350 22.115 0.022 0.20063.125 0.331 20.864 0.021 0.19963.125 0.312 19.683 0.020 0.19863.125 0.294 18.569 0.019 0.19663.125 0.278 17.518 0.018 0.194
PVIF@12% PV(CT) Pv (CT)/P T´(Pv (CT)/P)
Page 28
63.125 0.262 16.526 0.017 0.19163.125 0.247 15.591 0.016 0.18863.125 0.233 14.708 0.015 0.18563.125 0.220 13.876 0.014 0.18163.125 0.207 13.090 0.013 0.17863.125 0.196 12.349 0.012 0.17463.125 0.185 11.650 0.012 0.17063.125 0.174 10.991 0.011 0.16663.125 0.164 10.369 0.010 0.16263.125 0.155 9.782 0.010 0.15763.125 0.146 9.228 0.009 0.15363.125 0.138 8.706 0.009 0.14963.125 0.130 8.213 0.008 0.14463.125 0.123 7.748 0.008 0.14063.125 0.116 7.309 0.007 0.13663.125 0.109 6.896 0.007 0.13263.125 0.103 6.505 0.007 0.12763.125 0.097 6.137 0.006 0.12363.125 0.092 5.790 0.006 0.11963.125 0.087 5.462 0.005 0.11563.125 0.082 5.153 0.005 0.11163.125 0.077 4.861 0.005 0.10763.125 0.073 4.586 0.005 0.10463.125 0.069 4.326 0.004 0.10063.125 0.065 4.082 0.004 0.09663.125 0.061 3.851 0.004 0.09363.125 0.058 3.633 0.004 0.08963.125 0.054 3.427 0.003 0.086
994.967 1.000 7.398P 994.967Duration 7.398Volatility 7.046
Page 29
4.5% COUPON 8.25% COUPON 12.6 COUPONNEW PRICE % CHANGE NEW PRICE % CHANGE NEW PRICE
858.059 0.089 1021.615 0.180 1356.06310% 787.652 0.000 865.491 0.000 1152.405
723.997 -0.081 741.909 -0.143 994.967134.063 0.170
↓8%
↑12%
Page 30
12.6 COUPON% CHANGE
0.1770.000-0.137
Page 31
TIME C(t)0.5 22.51 22.51.5 22.52 22.52.5 22.53 22.53.5 22.54 22.54.5 22.55 1022.5
PDurationVolatility
TIME C(t)0.5 22.51 22.51.5 22.52 22.52.5 22.53 22.53.5 22.54 22.54.5 22.55 1022.5
PDurationVolatility
TIME C(t)0.5 22.51 22.51.5 22.5
2 22.52.5 22.53 22.53.5 22.54 22.54.5 22.55 1022.5
PDuration
PVIF@ PV(CT) Pv (CT)/P T´(Pv (CT)/P)
PVIF@ PV(CT) Pv (CT)/P T´(Pv (CT)/P)
PVIF@ PV(CT) Pv (CT)/P T´(Pv (CT)/P)
Page 33
TIME C(t)0.5 41.251 41.251.5 41.252 41.252.5 41.253 41.253.5 41.254 41.254.5 41.255 41.255.5 41.256 41.256.5 41.257 41.257.5 41.25
8 41.258.5 41.259 41.259.5 41.2510 41.2510.5 41.2511 41.2511.5 41.2512 41.2512.5 41.2513 41.2513.5 41.2514 41.2514.5 41.2515 1041.25
PDurationVolatility
TIME C(t)0.5 41.251 41.251.5 41.252 41.252.5 41.253 41.253.5 41.254 41.254.5 41.25
PVIF@ PV(CT) Pv (CT)/P T´(Pv (CT)/P)
PVIF@ PV(CT) Pv (CT)/P T´(Pv (CT)/P)
Page 34
5 41.255.5 41.256 41.256.5 41.257 41.257.5 41.258 41.258.5 41.259 41.259.5 41.2510 41.2510.5 41.2511 41.2511.5 41.2512 41.2512.5 41.2513 41.2513.5 41.2514 41.2514.5 41.2515 1041.25
PDurationVolatility
TIME C(t)0.5 41.251 41.251.5 41.252 41.252.5 41.253 41.253.5 41.254 41.254.5 41.255 41.255.5 41.256 41.256.5 41.257 41.257.5 41.258 41.258.5 41.259 41.259.5 41.25
PVIF@ PV(CT) Pv (CT)/P T´(Pv (CT)/P)
Page 35
10 41.2510.5 41.2511 41.2511.5 41.2512 41.2512.5 41.2513 41.2513.5 41.2514 41.2514.5 41.2515 1041.25
2237.500PDurationVolatility
Page 36
BOND PRICE CALCULATIONNPER RATE PV PMT FV
3 -1153 100 10004.44%
BOND YTM CALCULATIONS
Page 37
FOR ANNUAL COUPON PAYMENTS5-YEARS BOND 15-YEARS BOND 25-YEARS BOND
FACE VALUE 1000 1000 1000ANNUAL COUPON RATE 4.50% 8.25% 12.63%ANNUAL REQUIRED RETURN 10% 10% 10%YEARS TO MATURITY 5 15 25PAYMENT FREQUENCY 1 1 1VALUE OF BOND ($791.51) ($866.89) ($1,238.27)
FOR SEMI-ANNUAL COUPON PAYMENTS5-YEARS BOND 15-YEARS BOND 25-YEARS BOND
FACE VALUE 1000 1000 1000ANNUAL COUPON RATE 4.50% 8.25% 12.63%ANNUAL REQUIRED RETURN 10% 10% 10%YEARS TO MATURITY 5 15 25PAYMENT FREQUENCY 2 2 2VALUE OF BOND ($787.65) ($865.49) ($1,239.61)
APR &EAR YTM CALCULATIONS FOR SEMI-ANNUAL COUPON PAYMENTS5-YEARS BOND 15-YEARS BOND 25-YEARS BOND
FACE VALUE 1000 1000 1000ANNUAL COUPON RATE 4.50% 8.25% 12.63%ANNUAL REQUIRED RETURN 10% 10% 10%YEARS TO MATURITY 5 15 25PAYMENT FREQUENCY 2 2 2VALUE OF BOND $800.00 $865.49 $1,220.00 YTM 5% 5% 5%APR YTM 10% 10% 10%EAR YTM 9.866 10.250 10.440
Page 38
FOR ANNUAL COUPON PAYMENTS5-YEARS BOND 15-YEARS BOND 25-YEARS BOND
FACE VALUEANNUAL COUPON RATEANNUAL REQUIRED RETURNYEARS TO MATURITYPAYMENT FREQUENCYVALUE OF BOND
FOR SEMI-ANNUAL COUPON PAYMENTS5-YEARS BOND 15-YEARS BOND 25-YEARS BOND
FACE VALUEANNUAL COUPON RATEANNUAL REQUIRED RETURNYEARS TO MATURITYPAYMENT FREQUENCYVALUE OF BOND
APR &EAR YTM CALCULATIONS FOR SEMI-ANNUAL COUPON PAYMENTS5-YEARS BOND 15-YEARS BOND 25-YEARS BOND
FACE VALUEANNUAL COUPON RATEANNUAL REQUIRED RETURNYEARS TO MATURITYPAYMENT FREQUENCYVALUE OF BONDYTMAPR YTMEAR YTM
![Time-Varying Autoregressive Conditional Duration Model2.4 Autoregressive conditional duration model Engle and Russell [9] considered the autoregressive conditional duration (ACD) models](https://static.documents.pub/doc/80x56/61080978d0d2785210086daa/time-varying-autoregressive-conditional-duration-model-24-autoregressive-conditional.jpg)
