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6%

Tasa actual a inmunizar:


Tasa Cupn
Vencimiento
Cupon
Valor Nominal
Precio del Bono
Valor adquirido del bono con $1000

BONO 1
6.70%
10
67.00
1,000.00
1,051.52
951.00

Valor futuro de la obligacin adquirida 1,790.85


Riqueza Final al 6% 1,883.11
Riqueza Final si la tasa baja 5% 1,842.72
Riqueza Final si la tasa sube 7% 1,925.70
Riqueza final a 10 aos, si compra valor nominal al 6%

1,790.85

Riqueza final a 10 aos, si compra valor nominal al 5%

1,752.43

Riqueza final a 10 aos, si compra valor nominal al 7%

1,831.35

BONO 1
1

Ao

Flujo de efectivo

Factor de
descuento al 6%

Valor presente del


flujo

(5) (1) (4)

0
1

67.00

0.9434

63.21

63.21

67.00

0.8900

59.63

119.26

67.00

0.8396

56.25

168.76

67.00

0.7921

53.07

212.28

67.00

0.7473

50.07

250.33

67.00

0.7050

47.23

283.39

67.00

0.6651

44.56

311.91

67.00

0.6274

42.04

336.29

67.00

0.5919

39.66

356.91

10

1,067.00

0.5584

595.81

5,958.07

1,051.52

8,060.43

Duracin modificada

7.665498
7.231602

Convexidad

67.99581

Duracin de Macaulay

BONO 2
1

Ao

Flujo de efectivo

Factor de
descuento al 6%

Valor presente del


flujo

(5) (1) (4)

0
1

69.88

65.92

65.92

0.9434

69.88

0.8900

62.19

124.39

69.88

0.8396

58.67

176.02

69.88

0.7921

55.35

221.41

69.88

0.7473

52.22

261.09

69.88

0.7050

49.26

295.58

69.88

0.6651

46.47

325.32

69.88

0.6274

43.84

350.75

69.88

0.5919

41.36

372.26

10

69.88

0.5584

39.02

390.21

11

69.88

0.5268

36.81

404.93

12

69.88

0.4970

34.73

416.74

13

69.88

0.4688

32.76

425.91

14

69.88

0.4423

30.91

432.71

15

1,069.88

0.4173

446.42

6,696.35

1,095.96

10,959.58

Duracin de Macaulay
Duracin modificada
Convexidad

10.000009
9.433971
121.48416

BONO 3
1

Ao

Flujo de efectivo

Factor de
descuento al 6%

Valor presente del


flujo

(5) (1) (4)

0
1

59.00

0.9434

55.66

55.66

59.00

0.8900

52.51

105.02

59.00

0.8396

49.54

148.61

59.00

0.7921

46.73

186.93

59.00

0.7473

44.09

220.44

59.00

0.7050

41.59

249.56

59.00

0.6651

39.24

274.67

59.00

0.6274

37.02

296.14

59.00

0.5919

34.92

314.30

10

59.00

0.5584

32.95

329.45

11

59.00

0.5268

31.08

341.89

12

59.00

0.4970

29.32

351.85

13

59.00

0.4688

27.66

359.60

14

59.00

0.4423

26.10

365.34

15

59.00

0.4173

24.62

369.28

16

59.00

0.3936

23.23

371.60

17

59.00

0.3714

21.91

372.48

18

59.00

0.3503

20.67

372.07

19

59.00

0.3305

19.50

370.51

20

59.00

0.3118

18.40

367.93

21

59.00

0.2942

17.36

364.46

22

59.00

0.2775

16.37

360.20

23

59.00

0.2618

15.45

355.26

24

59.00

0.2470

14.57

349.72

25

59.00

0.2330

13.75

343.67

26

59.00

0.2198

12.97

337.19

27

59.00

0.2074

12.23

330.34

28

59.00

0.1956

11.54

323.18

29

59.00

0.1846

10.89

315.78

30

1,059.00

0.1741

184.38

5,531.48

986.24

14,434.60

14.636060
13.807604
296.14149

Duracin de Macaulay
Duracin modificada
Convexidad

DURACIN DEL PORTAFOLIO


Proporciones de los bonos
BONO 1
0.6651
BONO 3
0.3349
Duracin del
portafolio
Valor del
portafolio
TASA
0
0.01
0.02
0.03
0.04
0.05
0.06
0.07
0.08
0.09
0.1
0.11
0.12
0.13
0.14
0.15
0.16

10.00 Aos
1,794.84
BONO I
1,588.18
1,617.63
1,648.69
1,681.45
1,716.00
1,752.43
1,790.85
1,831.35
1,874.05
1,919.06
1,966.49
2,016.48
2,069.16
2,124.66
2,183.12
2,244.70
2,309.55

BONO 2
1,868.87
1,844.71
1,825.14
1,810.05
1,799.35
1,792.97
1,790.85
1,792.95
1,799.26
1,809.76
1,824.46
1,843.37
1,866.53
1,893.98
1,925.77
1,961.98
2,002.69

BONO 3
2,808.66
2,536.42
2,315.61
2,137.23
1,994.02
1,880.14
1,790.85
1,722.34
1,671.53
1,635.92
1,613.46
1,602.53
1,601.79
1,610.17
1,626.82
1,651.05
1,682.31

2,900.00
2,700.00
2,500.00
2,300.00
2,100.00
1,900.00
1,700.00
1,500.00

6%
BONO 2
6.99%
15
69.88
1,000.00
1,095.96
912.44

BONO 3
5.90%
30
59.00
1,000.00
986.24
1,013.96

2,396.56

5,743.49

1,962.69

1,766.20

1,965.01
1,965.00

1,854.26
1,698.64

1,790.85

1,790.85

1,792.97

1,880.14

Riqueza Final
Tasa baja

Riqueza Final Tasa


sube

1,792.95

1,722.34

5%

7%

BONO 1
6

10

Valor presente como %


del precio

t^2+t

(4)*(7)

Riqueza Final

Riqueza Final Tasa


5%

0.0601

126.415

67.000

67.000

0.1134

357.779

71.020

70.350

0.1605

12

675.054

75.281

73.868

0.2019

20

1,061.406

79.798

77.561

0.2381

30

1,501.989

84.586

81.439

0.2695

42

1,983.759

89.661

85.511

0.2966

56

2,495.294

95.041

89.786

0.3198

72

3,026.637

100.743

94.276

0.3394

90

3,569.148

106.788

98.990

5.6661

110

65,538.795

113.195

103.939

80,336.28

1,883.11

1,842.72

7.67

BONO 2
6

10

Valor presente como %


del precio

t^2+t

(4)*(7)

Riqueza Final

Riqueza Final Tasa


5%

0.0602

131.849

69.880

69.880

0.1135

373.158

74.073

73.374

0.1606

12

704.071

78.517

77.043

0.2020

20

1,107.030

83.228

80.895

0.2382

30

1,566.552

88.222

84.940

0.2697

42

2,069.031

93.515

89.187

0.2968

56

2,602.555

99.126

93.646

0.3200

72

3,156.738

105.074

98.328

0.3397

90

3,722.568

111.378

103.245

0.3560

110

4,292.269

118.061

108.407

0.3695

132

4,859.172

0.3803

156

5,417.602

0.3886

182

5,962.770

0.3948

210

6,490.678

6.1101

240

107,141.650

65.925
62.193
58.673
55.352
799.4766

66.552
63.383
60.365
57.490
838.2790

149,597.69

1,962.69

1,965.01

10.00

BONO 3
6

10

Valor presente como %


del precio

t^2+t

(4)*(7)

Riqueza Final

Riqueza Final Tasa


5%

0.3019

111.321

59.000

59.000

0.5696

315.059

62.540

61.950

0.8060

12

594.450

66.292

65.048

1.0138

20

934.671

70.270

68.300

1.1956

30

1,322.647

74.486

71.715

1.3535

42

1,746.892

78.955

75.301

1.4897

56

2,197.349

83.693

79.066

1.6061

72

2,665.248

88.714

83.019

1.7046

90

3,142.981

94.037

87.170

1.7868

110

3,623.982

99.679

91.528

1.8542

132

4,102.621

1.9083

156

4,574.106

1.9503

182

5,034.393

1.9814

210

5,480.109

2.0028

240

5,908.473

2.0154

272

6,317.236

2.0201

306

6,704.613

2.0179

342

7,069.237

2.0094

380

7,410.102

1.9955

420

7,726.521

1.9766

462

8,018.088

55.660
52.510
49.538
46.734
44.088
41.593
39.238
37.017
34.922
32.945
31.080

56.190
53.515
50.966
48.539
46.228
44.027
41.930
39.934
38.032
36.221
34.496

171,475.845

29.321
27.662
26.096
24.619
23.225
21.911
20.670
19.500
330.201

32.853
31.289
29.799
28.380
27.029
25.742
24.516
23.348
399.126

328,164.41

1,766.20

1,854.26

1.9536

506

8,284.637

1.9267

552

8,526.213

1.8967

600

8,743.041

1.8639

650

8,935.497

1.8287

702

9,104.092

1.7916

756

9,249.440

1.7528

812

9,372.249

1.7126

870

9,473.297

30.0000

930

78.29

2,900.00
2,700.00
2,500.00
2,300.00
2,100.00
1,900.00
1,700.00
1,500.00

BONO I

BONO 2

BONO 3

11
Riqueza Final Tasa 7%

67.000
71.690
76.708
82.078
87.823
93.971
100.549
107.587
115.118
123.177

1,925.70

11
Riqueza Final Tasa 7%
69.880

74.772
80.006
85.606
91.598
98.010
104.871
112.212
120.067
128.472

65.308
61.036
57.043
53.311
762.8097
1,965.00

11
Riqueza Final Tasa 7%
59.000
63.130
67.549
72.278
77.337
82.751
88.543
94.741
101.373
108.469

55.140
51.533
48.162
45.011
42.066
39.314
36.742
34.339
32.092
29.993
28.030

26.197
24.483
22.881
21.384
19.985
18.678
17.456
16.314
273.666
1,698.64

DURACIN DE UN PORTAFOLIO CON 3 BON


Bono
10%, 5 aos
8%, 15 aos
14%, 30 aos
Bono
10%, 5 aos
8%, 15 aos
14%, 30 aos

Valor a la par
4,000,000.00
5,000,000.00
1,000,000.00
Precio
100.00
84.63
137.86

Valor de mercado del portafolio


Duracin del portafolio

Valor de mercado
4,000,000.00
4,231,375.00
1,378,585.00
Rendimiento
10.00
10.00
10.00
9,609,960.00

6.47

Duracin
3.86
8.05
9.17

O CON 3 BONOS

Valor en el portafolio
0.4162
0.4403
0.1435