CRONOGRAMA DE LA DEUDA (EN DLARES AMERICANOS)

Monto (USD)
Plazo (aos)
Gracia (ao)
Amortizacin
Interes
Interes
Periodo
28/2/2003
30/8/2003
28/2/2004
30/8/2004
28/2/2005
30/8/2005
28/2/2006
30/8/2006

6,000,000
4
1
1,000,000 seis pagos
8.00% anual
3.92% semestral

Se ha considerado tasa efectiva

Saldo del Amortizacin Intereses

Principal
6,000,000
0
235,383
6,000,000
0
235,383
6,000,000
1,000,000
235,383
5,000,000
1,000,000
196,152
4,000,000
1,000,000
156,922
3,000,000
1,000,000
117,691
2,000,000
1,000,000
78,461
1,000,000
1,000,000
39,230

montos en Riesgos
Total
Servicio
235,383
235,383
1,235,383
1,196,152
1,156,922
1,117,691
1,078,461
1,039,230

TASAS DE INTERS EN DLARES Y SOLES (TEA)

Plazo
Meses
1
2
3
6
9
12
18
24
36
Plazo
Meses
1
2
3
6
9
12
18
24
36

Banco NED ( Soles)

3.38%
4.13%
4.13%
5.38%
4.13%
5.38%
5.00%
6.25%
5.50%
6.75%
5.75%
7.75%
6.25%
8.25%
8.00%
10.00%
9.00%
11.00%
Pasiva Anual Activa Anual
Banco NED (Dolares)
1.63%
1.75%
1.75%
1.75%
2.00%
2.00%
2.50%
3.00%
4.00%

2.38%
2.50%
2.50%
2.50%
2.75%
2.75%
3.25%
3.75%
4.75%

Banco RCP
3.50%
4.25%
4.25%
5.25%
5.75%
6.00%
6.50%
8.25%
9.25%

4.25%
5.50%
5.50%
6.50%
7.00%
8.00%
8.50%
10.25%
11.25%

Banco RCP
2.13%
2.25%
2.25%
2.25%
2.75%
2.75%
3.25%
3.75%
4.75%

2.88%
3.00%
3.00%
3.00%
3.50%
3.50%
4.00%
4.50%
5.50%

Banco CAS
3.88%
4.13%
4.13%
5.00%
5.75%
6.25%
6.75%
8.50%
9.50%

4.63%
5.38%
5.13%
6.00%
7.00%
8.25%
8.75%
10.50%
11.50%

Banco CAS
2.88%
3.00%
3.00%
3.25%
3.50%
3.50%
4.00%
4.50%
5.50%

3.63%
3.75%
3.75%
4.00%
4.25%
4.25%
4.75%
5.25%
6.25%

MODELO DE VALORIZACIN OPCIONES: BLACK & SHOLES

Prima o Premio. / Valorizar la prima

Mas volatitl , mayor el precio.
Menos volatil, menor el precio.

European FX Options
Valor Nominal
Precio spot
Precio strike
Volatilidad
Tasa domstica (S/.)
Tasa extranjera (US$)
Plazo de vencimiento (das)
Time
LN(S/X)

Valor del contrato.

235,383
2.7478
2.8254
1.34%
6.25%
1.75%
180.0
0.500 Plazo en aos (360 das base)

-0.02785

Vol^2/2
0.00009

d1
-0.55982

N(d1)
0.28780

N(-d1)
0.71220

-0.56930

N(d2)
0.28458

N(-d2)
0.71542

Exp(-rft)
0.99129

Exp(-rdt)
0.96923

Call Price

LCY
0.00462

FCY
0.002

Put Price

0.01923

0.007

d2

Total FCY
395.92 Cobra 849
0.17%
1,647.45
0.70%

MODELO DE VALORIZACIN OPCIONES: BLACK & SHOLES

Prima o Premio. / Valorizar la prima

Mas volatitl , mayor el precio.
Menos volatil, menor el precio.

European FX Options
Valor Nominal
Precio spot
Precio strike
Volatilidad
Tasa domstica (S/.)
Tasa extranjera (US$)
Plazo de vencimiento (das)
Time
LN(S/X)

Valor del contrato.

235,383
2.7478
2.7684
2.10%
6.25%
1.75%
180.0
0.500 Plazo en aos (360 das base)

-0.00747

Vol^2/2
0.00022

d1
1.01967

N(d1)
0.84606

N(-d1)
0.15394

1.00482

N(d2)
0.84251

N(-d2)
0.15749

Exp(-rft)
0.99129

Exp(-rdt)
0.96923

Call Price

LCY
0.04390

FCY
0.016

Put Price

0.00327

0.001

d2

Total FCY
3,760.89 Cobra 849
1.60%
279.89
0.12%