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Session 10_Real Data Example for Bootstrapping using Metrics (1)

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14 views

Session 10_Real Data Example for Bootstrapping using Metrics (1)

Uploaded by

dapper011
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as XLSX, PDF, TXT or read online on Scribd
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Coupon Bond Prices of Various Treasury Securities for Settlement on October 9, 1999

Coupon Bond Prices Settlement Date ==>


Maturity Date Coupon
2/15/2000 5.0000%
8/15/2000 8.0000%
2/15/2001 8.2500%
8/15/2001 8.7500%
2/15/2002 11.7500%
8/15/2002 7.8750%
2/15/2003 14.2500%
8/15/2003 6.2500%
2/15/2004 6.2500%
8/15/2004 5.7500%
2/15/2005 5.8750%
8/15/2005 7.2500%
2/15/2006 7.5000%

Cash Flow Schedule of each Coupon Bond


Maturity Date
2/15/2000
8/15/2000
2/15/2001
8/15/2001
2/15/2002
8/15/2002
2/15/2003
8/15/2003
2/15/2004
8/15/2004
2/15/2005
8/15/2005
2/15/2006
A - Inverse Matrix
Maturity Date
2/15/2000
8/15/2000
2/15/2001
8/15/2001
2/15/2002
8/15/2002
2/15/2003
8/15/2003
2/15/2004
8/15/2004
2/15/2005
8/15/2005
2/15/2006
Maturity Date
2/15/2000
8/15/2000
2/15/2001
8/15/2001
2/15/2002
8/15/2002
2/15/2003
8/15/2003
2/15/2004
8/15/2004
2/15/2005
8/15/2005
2/15/2006
Pricing Date ↓
10/9/1999 8/15/1999 55
Bid Clean Ask Clean Days Accrued YTM Basis Semi Annual Coupon Rate
100.05 100.07 55 4.8186% 180 2.5000%
103 103.02 55 4.3556% 180 4.0000%
105.1 105.12 55 4.3135% 180 4.1250%
107.29 107.31 55 4.5889% 180 4.3750%
116.16 116.18 55 4.4276% 180 5.8750%
109.1 109.12 55 4.4372% 180 3.9375%
130.1 130.12 55 4.4702% 180 7.1250%
106.09 106.11 55 4.5072% 180 3.1250%
107.02 107.04 55 4.4551% 180 3.1250%
105.21 105.23 55 4.5395% 180 2.8750%
106.22 106.24 55 4.5505% 180 2.9375%
113.24 113.26 55 4.6381% 180 3.6250%
115.29 115.31 55 4.6865% 180 3.7500%

2/15/2000 8/15/2000 2/15/2001 8/15/2001 2/15/2002 8/15/2002


102.5000 0.0000 0.0000 0.0000 0.0000 0.0000
4.0000 104.0000 0.0000 0.0000 0.0000 0.0000
4.1250 4.1250 104.1250 0.0000 0.0000 0.0000
4.3750 4.3750 4.3750 104.3750 0.0000 0.0000
5.8750 5.8750 5.8750 5.8750 105.8750 0.0000
3.9375 3.9375 3.9375 3.9375 3.9375 103.9375
7.1250 7.1250 7.1250 7.1250 7.1250 7.1250
3.1250 3.1250 3.1250 3.1250 3.1250 3.1250
3.1250 3.1250 3.1250 3.1250 3.1250 3.1250
2.8750 2.8750 2.8750 2.8750 2.8750 2.8750
2.9375 2.9375 2.9375 2.9375 2.9375 2.9375
3.6250 3.6250 3.6250 3.6250 3.6250 3.6250
3.7500 3.7500 3.7500 3.7500 3.7500 3.7500

2/15/2000 8/15/2000 2/15/2001 8/15/2001 2/15/2002 8/15/2002


0.0098 0.0000 0.0000 0.0000 0.0000 0.0000
-0.0004 0.0096 0.0000 0.0000 0.0000 0.0000
-0.0004 -0.0004 0.0096 0.0000 0.0000 0.0000
-0.0004 -0.0004 -0.0004 0.0096 0.0000 0.0000
-0.0005 -0.0005 -0.0005 -0.0005 0.0094 0.0000
-0.0003 -0.0003 -0.0003 -0.0003 -0.0004 0.0096
-0.0005 -0.0005 -0.0006 -0.0006 -0.0006 -0.0006
-0.0002 -0.0002 -0.0002 -0.0002 -0.0003 -0.0003
-0.0002 -0.0002 -0.0002 -0.0002 -0.0002 -0.0003
-0.0002 -0.0002 -0.0002 -0.0002 -0.0002 -0.0002
-0.0002 -0.0002 -0.0002 -0.0002 -0.0002 -0.0002
-0.0002 -0.0002 -0.0002 -0.0003 -0.0003 -0.0003
-0.0002 -0.0002 -0.0002 -0.0003 -0.0003 -0.0003
Maturity Zero Price Zero Coupon Yield Maturity Zero Coupon Yield
0.70 0.9846 2.24% 0.70 2.26%
1.69 0.9643 2.18% 1.69 2.19%
2.69 0.9463 2.07% 2.69 2.08%
3.67 0.9253 2.14% 3.67 2.14%
4.67 0.9053 2.15% 4.67 2.16%
5.66 0.8843 2.20% 5.66 2.20%
6.66 0.8636 2.23% 6.66 2.23%
7.64 0.8437 2.25% 7.64 2.25%
8.64 0.8257 2.24% 8.64 2.24%
9.63 0.8080 2.24% 9.63 2.24%
10.63 0.7897 2.25% 10.63 2.25%
11.61 0.7676 2.30% 11.61 2.30%
12.61 0.7484 2.32% 12.61 2.33%
Accrued Interest Bid Clean (Decimal) Ask Clean (Decimal) Bid Durty Ask Dirty
0.7639 100.1562 100.2187 100.9201 100.9826
1.2222 103.0000 103.0625 104.2222 104.2847
1.2604 105.3125 105.3750 106.5729 106.6354
1.3368 107.9063 107.9688 109.2431 109.3056
1.7951 116.5000 116.5625 118.2951 118.3576
1.2031 109.3125 109.3750 110.5156 110.5781
2.1771 130.3125 130.3750 132.4896 132.5521
0.9549 106.2813 106.3438 107.2361 107.2986
0.9549 107.0625 107.1250 108.0174 108.0799
0.8785 105.6562 105.7188 106.5347 106.5972
0.8976 106.6875 106.7500 107.5851 107.6476
1.1076 113.7500 113.8125 114.8576 114.9201
1.1458 115.9063 115.9688 117.0521 117.1146

2/15/2003 8/15/2003 2/15/2004 8/15/2004 2/15/2005 8/15/2005 2/15/2006


0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000
0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000
0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000
0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000
0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000
0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000
107.1250 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000
3.1250 103.1250 0.0000 0.0000 0.0000 0.0000 0.0000
3.1250 3.1250 103.1250 0.0000 0.0000 0.0000 0.0000
2.8750 2.8750 2.8750 102.8750 0.0000 0.0000 0.0000
2.9375 2.9375 2.9375 2.9375 102.9375 0.0000 0.0000
3.6250 3.6250 3.6250 3.6250 3.6250 103.6250 0.0000
3.7500 3.7500 3.7500 3.7500 3.7500 3.7500 103.7500

2/15/2003 8/15/2003 2/15/2004 8/15/2004 2/15/2005 8/15/2005 2/15/2006


0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000
0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000
0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000
0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000
0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000
0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000
0.0093 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000
-0.0003 0.0097 0.0000 0.0000 0.0000 0.0000 0.0000
-0.0003 -0.0003 0.0097 0.0000 0.0000 0.0000 0.0000
-0.0002 -0.0003 -0.0003 0.0097 0.0000 0.0000 0.0000
-0.0002 -0.0003 -0.0003 -0.0003 0.0097 0.0000 0.0000
-0.0003 -0.0003 -0.0003 -0.0003 -0.0003 0.0097 0.0000
-0.0003 -0.0003 -0.0003 -0.0003 -0.0003 -0.0003 0.0096
Zero Coupon Yield
0.0235

0.023

0.0225

0.022

0.0215

0.021

0.0205

0.02

0.0195
0 2 4 6 8 10 12 14
Prices of Zero Coupon Bonds
Bond Price
1 99.5
2 101.5
3 100.25
Step 1
Yield on First Pure Zero Coupon Bond
Settlment Date 1/1/2024
Maturity Date 1/1/2025
Coupon 5%
Price 99.5
Redemption 100
Frequency 1
Basis 0
Yield to Maturity 5.5276%

Z1 94.7619047619047

YTM Cacluations Bond 1


Settlment Date 1/1/2024
Maturity Date 1/1/2025
Coupon 5%
Price 99.5
Redemption 100
Frequency 1
Basis 0
Yield to Maturity 5.5276%

Cash Flow Metrics


105
6
7

Cash Flow Inverse Metrics


0.00952380952380953
-0.000539083557951482
-0.000587785810850526

Maturity
1
2
3
Year 1 Year 2 Year 3
105 0 0
6 106 0
7 7 107

Yield on 2 Year Pure Zero Bond ==> 5.1808% <==Apply Goal Seek
Formula==> 101.500616751399 101.5 <==Actual Price
Z2 90.3914174204573

Yield on 3 Year Pure Zero Bond ==> 7.0222% <==Apply Goal Seek
Formula==> 100.250278528287 100.25 <==Actual Price
Z3 81.5790149303943

Maturity Implied Zero Price Spot Rate of Interest


1 94.7619047619047 ###
2 90.3914174204573 ###
3 81.5790149303943 ###

Bond 2 Bond 3
1/1/2024 1/1/2024
1/1/2026 1/1/2027
6% 7%
101.5 100.25
100 100
1 1
0 0
5.1911% 6.9049%

Price Metrics
0 0 99.5
106 0 101.5
7 107 100.25

0 0
0.00943396226415094 0
-0.000617175101393052 0.00934579439252336

Zero Coupon Bond Prices Zero Yield


0.947619047619048 5.53%
0.903908355795148 5.18%
0.815787926879445 7.02%
<==Apply Goal Seek
<==Actual Price

<==Apply Goal Seek Maturity Spot Rate oYield to Maturity


<==Actual Price 1 5.53% 5.53%
2 5.18% 5.19%
3 7.02% 6.90%
Spot Rate of Interest

Price Metrics

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