vn

tmar
cupon
plazo
precio
plazo

+
=

1000
8% variacin TASA INTERES
8%
12
($ 1,000.00)
flujo 1
V.A. flujo1
% VA
0
$ 1,000.00 $ 1,000.00
1
80
$ 74.07
7.41%
2
80
$ 68.59
6.86%
3
80
$ 63.51
6.35%
4
80
$ 58.80
5.88%
5
80
$ 54.45
5.44%
6
80
$ 50.41
5.04%
7
80
$ 46.68
4.67%
8
80
$ 43.22
4.32%
9
80
$ 40.02
4.00%
10
80
$ 37.06
3.71%
11
80
$ 34.31
3.43%
12
1080
$ 428.88
42.89%
duracin
8.14
convexidad
DM
7.54
EFECTO
DURACION
CONVEXIDAD
TOTAL
PRECIO NUEVO

-3.77%
0.10%
-3.67%
963.295767

tmar
0.50%

convexidad
T(T+1)
2
6
12
20
30
42
56
72
90
110
132
156
78.092573

variacion
valor actual
1.0%
-7.0% $ 1,787.86
1.5%
-6.5% $ 1,708.99
2.0%
-6.0% $ 1,634.52
2.5%
-5.5% $ 1,564.18
3.0%
-5.0% $ 1,497.70
3.5%
-4.5% $ 1,434.85
4.0%
-4.0% $ 1,375.40
4.5%
-3.5% $ 1,319.15
5.0%
-3.0% $ 1,265.90
5.5%
-2.5% $ 1,215.46
6.0%
-2.0% $ 1,167.68
6.5%
-1.5% $ 1,122.38
7.0%
-1.0% $ 1,079.43
7.5%
-0.5% $ 1,038.68
8.0%
0.0% $ 1,000.00
8.5%
0.5%
$ 963.28
9.0%
1.0%
$ 928.39
9.5%
1.5%
$ 895.24
10.0%
2.0%
$ 863.73
10.5%
2.5%
$ 833.75
11.0%
3.0%
$ 805.23
11.5%
3.5%
$ 778.08
12.0%
4.0%
$ 752.23
12.5%
4.5%
$ 727.59
13.0%
5.0%
$ 704.12
13.5%
5.5%
$ 681.73
14.0%
6.0%
$ 660.38
14.5%
6.5%
$ 640.01

$2,000.00
$1,800.00
$1,600.00
$1,400.00
$1,200.00
$1,000.00
$800.00
$600.00
$400.00
$200.00
$0.00

10

15

20

25

30

$600.00
$400.00
$200.00
$0.00

10

15

20

25

30

duracion
0.52752546
0.48984507
0.45216468
0.41448429
0.3768039
0.33912351
0.30144312
0.26376273
0.22608234
0.18840195
0.15072156
0.11304117
0.07536078
0.03768039
0
-0.03768039
-0.07536078
-0.11304117
-0.15072156
-0.18840195
-0.22608234
-0.26376273
-0.30144312
-0.33912351
-0.3768039
-0.41448429
-0.45216468
-0.48984507

25

30

convexidad
0.1913268
0.16497056
0.14056663
0.11811502
0.09761572
0.07906873
0.06247406
0.0478317
0.03514166
0.02440393
0.01561851
0.00878541
0.00390463
0.00097616
0
0.00097616
0.00390463
0.00878541
0.01561851
0.02440393
0.03514166
0.0478317
0.06247406
0.07906873
0.09761572
0.11811502
0.14056663
0.16497056

total
nuevo precio NUEVO PRECIO SOLO DURACION
72% 1718.85227 1527.52546
65% 1654.81563 1489.84507
59% 1592.73131 1452.16468
53% 1532.59931 1414.48429
47% 1474.41962 1376.8039
42% 1418.19224 1339.12351
36% 1363.91718 1301.44312
31% 1311.59443 1263.76273
26%
1261.224 1226.08234
21% 1212.80588 1188.40195
17% 1166.34007 1150.72156
12% 1121.82658 1113.04117
8% 1079.26541 1075.36078
4% 1038.65655 1037.68039
0%
1000
1000
-4% 963.295767 962.31961
-7% 928.543848 924.63922
-10% 895.744244 886.95883
-14% 864.896954 849.27844
-16% 836.001979 811.59805
-19% 809.059317 773.917659
-22% 784.06897 736.237269
-24% 761.030938 698.556879
-26% 739.945219 660.876489
-28% 720.811815 623.196099
-30% 703.630726 585.515709
-31% 688.40195 547.835319
-32% 675.125489 510.154929

25

30

OLO DURACION

vn
tmar
cupon
plazo
precio
plazo

1000
10% variacin
8%
12
($ 863.73)
flujo 1
flujo 2
flujo 3
0
$ 863.73
$ 884.82
$ 912.89
1
80
80
80
2
80
80
80
3
80
80
80
4
80
80
80
5
80
80
80
6
80
80
1080
7
80
80
8
80
80
9
80
1080
10
80
11
80
12
1080

flujo 4
$ 950.26
80
80
1080

TASA SPOT
TASA FORWARD

ENTRE 0
MAYOR A 1

vn
tmar
cupon
plazo
precio
plazo

+
=

1000
8% variacin TASA INTERES
8%
4
($ 1,000.00)
flujo 1
V.A. flujo1
% VA
0
$ 1,463.19 $ 1,000.00
1
80
$ 74.07
7.41%
2
80
$ 68.59
6.86%
3
80
$ 63.51
6.35%
4
80
$ 58.80
5.88%
5
80
$ 54.45
5.44%
6
80
$ 50.41
5.04%
7
80
$ 46.68
4.67%
8
80
$ 43.22
4.32%
9
80
$ 40.02
4.00%
10
1080
$ 500.25
50.02%
11
80
$ 34.31
3.43%
12
80
$ 31.77
3.18%
13
80
$ 29.42
2.94%
14
1080
$ 367.70
36.77%
duracin
7.25
convexidad
DM
6.71
EFECTO
DURACION
CONVEXIDAD
TOTAL
PRECIO NUEVO

-3.36%
0.08%
-3.28%
1415.20986

tmar
0.50%

convexidad
T(T+1)
2
6
12
20
30
42
56
72
90
110
132
156
182
210

1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
4.5%
5.0%
5.5%
6.0%
6.5%
7.0%
7.5%
8.0%
8.5%
9.0%
9.5%
10.0%

10.5%
11.0%
11.5%
12.0%
12.5%
13.0%
13.5%
14.0%
14.5%

60.5313201

$3,000.00
$2,500.00
$2,000.00
$1,500.00
$1,000.00
$500.00
$0.00

variacion
valor actual
-7.0% $ 2,815.55
-6.5% $ 2,676.99
-6.0% $ 2,546.72
-5.5% $ 2,424.20
-5.0% $ 2,308.90
-4.5% $ 2,200.34
-4.0% $ 2,098.09
-3.5% $ 2,001.73
-3.0% $ 1,910.87
-2.5% $ 1,825.17
-2.0% $ 1,744.29
-1.5% $ 1,667.93
-1.0% $ 1,595.80
-0.5% $ 1,527.64
0.0% $ 1,463.19
0.5% $ 1,402.23
1.0% $ 1,344.55
1.5% $ 1,289.94
2.0% $ 1,238.21

2.5%
3.0%
3.5%
4.0%
4.5%
5.0%
5.5%
6.0%
6.5%

$
$
$
$
$

1,189.19
1,142.73
1,098.66
1,056.85
1,017.16
$ 979.46
$ 943.65
$ 909.62
$ 877.26

$1,500.00
$1,000.00
$500.00
$0.00

10

15

20

25

30

35

duracion

convexidad

total

0.4697057
0.43615529
0.40260488
0.36905448
0.33550407
0.30195366
0.26840326
0.23485285
0.20130244
0.16775203
0.13420163
0.10065122
0.06710081
0.03355041
0
-0.03355041
-0.06710081
-0.10065122
-0.13420163

0.14830173
0.12787241
0.10895638
0.09155362
0.07566415
0.06128796
0.04842506
0.03707543
0.02723909
0.01891604
0.01210626
0.00680977
0.00302657
0.00075664
0
0.00075664
0.00302657
0.00680977
0.01210626

62%
56%
51%
46%
41%
36%
32%
27%
23%
19%
15%
11%
7%
3%
0%
-3%
-6%
-9%
-12%

-0.16775203
-0.20130244
-0.23485285
-0.26840326
-0.30195366
-0.33550407
-0.36905448
-0.40260488
-0.43615529

0.01891604
0.02723909
0.03707543
0.04842506
0.06128796
0.07566415
0.09155362
0.10895638
0.12787241

-15%
-17%
-20%
-22%
-24%
-26%
-28%
-29%
-31%

nuevo precio NUEVO PRECIO SOLO DURACION

2367.45794 2150.46381
2288.47515 2101.37307
2211.70659 2052.28233
2137.15226 2003.1916
2064.81215 1954.10086
1994.68627 1905.01012
1926.77461 1855.91938
1861.07718 1806.82865
1797.59398 1757.73791
1736.325 1708.64717
1677.27024 1659.55644
1620.42972 1610.4657
1565.80341 1561.37496
1513.39134 1512.28423
1463.19349 1463.19349
1415.20986 1414.10275
1369.44047 1365.01201
1325.88529 1315.92128
1284.54435 1266.83054

1245.41763
1208.50513
1173.80686
1141.32282
1111.053
1082.99741
1057.15604
1033.5289
1012.11599

1217.7398
1168.64907
1119.55833
1070.46759
1021.37685
972.286118
923.195381
874.104644
825.013907

25

30

35

OLO DURACION

CUPON
TIR
Duracin
Convexidad Duracin
Convexidad #
10% 7.80585361 73.2911754 7.82743774 71.3414112
12% 7.54989878 69.601888 7.51348718 65.0205056
14% 7.34707555 66.6784299 7.19995309 59.1306598
16% 7.1823958 64.3047653 6.88956311 53.6690786
18% 7.04602431 62.3391309 6.58483781 48.6290027
20% 6.93123955 60.6846437 6.28801566 43.9996738
22% 6.83329188 59.2728434 6.00100064 39.766588

2
4
6
8
10
12
14
20
30

TIR

CUPON - Duracin
8
7.5
Duracin
7
6.5
6
10%

12%

14%

16%

18%

20%

22%

9
8
7
6
5
4
3
2
1
0
10%

12%

CUPON - Convexidad
80

16

TIR 80

60
Convexidad
40

60
40

20
0
10%

14%

20
12%

14%

16%

18%

Convexa

20%

22%

0
10%

12%

14%

16%

PLAZO
Duracin
Convexidad
1.92592593 4.8900066
3.57709699 14.7448513
3.27671726 14.4883288
6.20637006 43.6161802
7.24688791 60.5313201
8.13896426 78.092573
8.90377594 95.7713278

TIR - Duracin
9
8
7
6
5
4
3
2
1
0
10%

Duracin

12%

14%

16%

18%

20%

22%

TIR - Convexidad
80
60
Convexidad
40
20
0
10%

12%

14%

16%

Convexa

18%

20%

22%

Concava

Meses

Tasa
1
3
6
12

0.19%
0.34%
0.57%
0.90%

Spot

Forward

Spot

Forward
0.19%
0.016%
0.34%
0.035% r
0.57%
0.067% r
0.90%
0.103% r
0.054% r
0.080% r
0.091% r

1
2
3
4
5
6

plazo
1m
3m
6m
12 m

1.00%

1,3
3,6
6,12
1,6
1,12
3,12

0.90%
0.80%
0.70%
0.60%
0.50%
0.40%
0.30%
0.20%
0.10%
0.00%
1

Column B
Column C