ch 7 appendix convexity structures

7/25/2019 Ch 7 Appendix Convexity Structures

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orksheet Title

7.11 Market data: extracted from Market Data work

7.12 Pricing an in-arrears swap with CX ad!stment

7.1" Pricing an in-arrears swap #ia $im!%ation to as

7.1& Creating a c!stomised a#erage-rate swap with

7.1' (!r)o $waps - pricing a & *ear +!,+! swap wit

7.1 Pricing a Constant Mat!rit* $wap with Con#e

7.17 Pricing a Constant Mat!rit* $wap with CX Ad7.10 Pricing a Constant Mat!rit* $wap with Con#e

7.1 Meas!ring the con#exit* effect of a Constant

7.2 Meas!ring the sca%e of the con#exit* effect of


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dix

mode%g Ad!stment

e% shifts

)* sim!%ation


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ta: extracted from Market Data worksheet for Chapter 7 Ap

4-Feb-08

DF's Time Z-c rates gradient

1

0.992199 0.019 3.216 -0.006!

0.98!$82 0.081 3.1%% -0.0026

0.9%%%$% 0.2$0 3.133 -0.0023

0.9%139% 0.$06 3.0%3 -0.00!6

0.96$383 0.%61 2.9$$ -0.00!0

0.9$9112 1.01% 2.8$! -0.002%

0.9$2$86 1.26! 2.%8% -0.0016

0.9!$!$8 1.$19 2.%!8 -0.000!0.9382!9 1.%%$ 2.%3% 0.000%

0.93011! 2.036 2.%$$ 0.0018

0.921!21 2.2%8 2.%98 0.002!

0.912%6! 2.$33 2.860 0.0026

0.90!2%% 2.%9! 2.929 0.0026

0.89$080 3.0!% 2.99$ 0.002$

0.886033 3.292 3.0$% 0.002!

0.8%6830 3.$$3 3.120 0.002!

0.86%!60 3.806 3.180 0.0023

0.8$%939 !.0$8 3.239 0.00230.8!8181 !.311 3.298 0.0023

0.838308 !.$6! 3.3$% 0.0023

0.8286$% !.819 3.!1% 0.0023

0.818623 $.0%$ 3.!%$ 0.0023

0.808$%2 $.322 3.$31 0.0022

0.%98$!2 $.$%8 3.$88 0.0021

0.%88893 $.833 3.6!3 0.0020

0.%%8986 6.089 3.69$ 0.0019

0.%691$6 6.336 3.%!2 0.0018

0.%$9!11 6.$92 3.%89 0.001%0.%$00%0 6.8!% 3.833 0.0016

0.%!0!%6 %.103 3.8%$ 0.001$

0.%3091! %.3$0 3.913 0.001$

0.%211$0 %.606 3.9$1 0.001!

0.%11980 %.861 3.98% 0.001!

0.%02199 8.122 !.02$ 0.001!

0.692%%$ 8.36% !.060 0.001!


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0.683!32 8.628 !.098 0.001!

0.6%!199 8.881 !.133 0.001!

0.66$0%% 9.133 !.16% 0.0013

0.6$6066 9.386 !.200 0.0012

0.6!%0%0 9.639 !.231 0.0012

0.6383%8 9.892 !.261 0.00110.62969% 10.1!% !.290 0.0011

0.621026 10.39% !.31% 0.0010

0.612!$9 10.6$0 !.3!3 0.0010

0.60!262 10.906 !.368 0.0010

0.$9$886 11.161 !.393 0.0009

0.$8%602 11.!08 !.!16 0.0009

0.$%9!09 11.66! !.!39 0.0009

0.$%1!%6 11.919 !.!61 0.0008

0.$63!$9 12.1%$ !.!83 0.0008

0.$$$$3% 12.!2$ !.$03 0.00080.$!%$!% 12.681 !.$2! 0.0008

0.$!02!! 12.936 !.$!! 0.0008

0.$3262% 13.19% !.$6! 0.000%

0.$2!9$% 13.!39 !.$82 0.000%

0.$1%6!1 13.69! !.600 0.000%

0.$106%1 13.9$6 !.618 0.000%

0.$033!6 1!.208 !.63! 0.0006

0.!963%0 1!.!$3 !.6$0 0.0006

0.!89$11 1!.%1! !.666 0.0006

0.!82%%0 1!.96% !.680 0.000$0.!%61!$ 1$.219 !.69! 0.000$

0.!69632 1$.!%2 !.%0% 0.000$

0.!631$9 1$.%2$ !.%19 0.000$

0.!$6933 1$.9%8 !.%30 0.000!

0.!$06%$ 16.233 !.%!1 0.000!

0.!!!$21 16.!83 !.%$2 0.000!

0.!38!69 16.%39 !.%61 0.000!

0.!32%08 16.99! !.%%1 0.0003

0.!268$0 1%.2$0 !.%80 0.0003

0.!2108% 1%.!9% !.%88 0.0003

0.!1$!18 1%.%$3 !.%9$ 0.0003

0.!10018 18.008 !.803 0.0003

0.!0!$2$ 18.26! !.810 0.0003

0.399120 18.$11 !.816 0.0002

0.39368! 18.%6% !.823 0.0002

0.388%29 19.022 !.829 0.0002

0.383$%0 19.283 !.83! 0.0002


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0.3%8381 19.$2$ !.839 0.0002

0.3%3!3! 19.%81 !.8!! 0.0002

0.368$62 20.0!2 !.8!9 0.0002

0.363%63 20.29! !.8$! 0.0002

0.3$903% 20.$!% !.8$8 0.0002

0.3$!332 20.800 !.862 0.00010.3!9%99 21.0$3 !.866 0.0001

0.3!$286 21.308 !.869 0.0001

0.3!0%9! 21.$$8 !.8%2 0.0001

0.3363%1 21.811 !.8%$ 0.0001

0.3321$8 22.06% !.8%8 0.0001

0.32%8%0 22.322 !.881 0.0001

0.3236$0 22.$69 !.883 0.0001

0.319!96 22.82$ !.886 0.0001

0.31$$38 23.081 !.888 0.0001

0.311$12 23.336 !.889 0.00010.30%$!9 23.$83 !.891 0.0001

0.3036!9 23.839 !.892 0.0000

0.299893 2!.09! !.89! 0.0000

0.29611! 2!.3$0 !.89$ 0.0000

0.292316 2!.600 !.896 0.0000

0.28869% 2!.8$6 !.896 0.0000

0.28$2$1 2$.11% !.89% 0.0000

0.281629 2$.369 !.89% 0.0000

0.2%81%6 2$.61! !.89% 0.0000

0.2%!%%6 2$.8%$ !.89% 0.00000.2%1!26 26.128 !.89% 0.0000

0.268126 26.381 !.89% 0.0000

0.26!8%3 26.633 !.896 0.0000

0.261632 26.886 !.896 0.0000

0.2$8$06 2%.139 !.89$ 0.0000

0.2$$389 2%.39! !.89! 0.0000

0.2$2281 2%.6!! !.89! 0.0000

0.2!9216 2%.89% !.893 0.0000

0.2!62$6 28.1$3 !.892 0.0000

0.2!32%1 28.!08 !.891 0.0000

0.2!032$ 28.6$8 !.890 0.0000

0.23%!1% 28.91! !.889 0.0000

0.23!639 29.169 !.888 0.0000

0.231803 29.!2$ !.88% 0.0000

0.229002 29.6%2 !.886 0.0000

0.2261%6 29.928 !.88$ 0.0000

30.183 !.88! 0.0000


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30.!!! !.882


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s swap with CX adjustments

#$

' years

1 m 3$Di)or in-arrears 5on 6stimation of margin

i)or - margin in advance No convexity adjustment Convexity adjustment with reversion Convexity adjustment with ero reversion +!anto

o%ati%it* ---8

9nstantaneo!s o%ati%it* 1; 9nstantaneo!s o%ati%it* 1; 1.; 1.2; 1.&; 1.; 1.0; 2.;

0. 0."& 0." 0.7 ."' .70

< < =e#ersion factor 2; < 7.'2 7.'2 7.'2 7.'2 7.'2 7.'2

< < ?= 9mp%ied < $wap $wap < Con#exit* $wap < Con#exit* $wap

o!nt df/s @orward < cashf%ows cashf%ows < phi expphiB ad!sted cashf%ows < phi expphiB ad!sted cashf%ows

B rates < recei#e side pa* side < forward recei#e side < forward recei#e side

< < rates < rates

<

ch 7 appendix convexity structures

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