1/15/2015

11/21/2015
4.60% 310 compra
4.85% 675 47815767.3055
5.10% 1040 45366003.1361
5.60% 1405 43041748.7060
40836573.7249
vg 816731474.4973
993791567.3698

136223519.1476

x=
 1000000000
50000000

venta
48126186.570141
45807067.303838 50000000.0000
43392738.587417
40539662.373562 1043791567.3698
865925912.53486
177865654.8350
865925912.5349
137325992.46
3.81%

365/n
vc -1
vg-suma cuotas
 365
ndespues simul VC
Tir de entrada VC -1 VG
VR Vs
nsimultanea Vrecompra
365 TIR de entrada
Vrecompra Vs (1+Tsimultanea) Vcupon
Vcuponestotal
Fc 10/28/2013 Finisimul 10/28/2013 Cuponescobra
VN $ 12,500,000,000.00 c1
Ff 10/24/2018 ndespuessimul 1221 c2
Tcupon 11.25% c3
TIR 5.90% nsimultanea 600 c4
Tsimul 4.50% c5
Ffsimul 6/20/2015 n1 361 VGtotal
n2 726 Cuponespst
n3 1091 Vscupones
n4 1456 Vrecompracupon
n5 1821 TIReCupon
Fc1 10/24/2014 nantessimul 0
Fc2 10/24/2014
Fc3 10/24/2014
Fc4 10/24/2014
Fc5 10/24/2014

361

1222
$ 13,906,250,000.00
$ 13,139,744,030.02
$ 13,139,744,030.02
$ 14,125,731,405.72
-0.47% 361
$ 1,406,250,000.00 vg 1 solo cupon 13906250000.00 365
$ 19,531,250,000.00 (1+ 5.90% )
$ 13,906,250,000.00
$ 1,328,738,160.34
$ 1,254,710,255.28
$ 1,184,806,662.21 vre 12750880178.09 (1+ 4.50%
$ 1,118,797,603.60 365
$ 10,447,275,912.29 1221
$ 15,334,328,593.71 tire 13906250000.00
$ 2,583,448,415.62 13707687773.12
$ 12,750,880,178.09 Vv 11830945387.73
$ 13,707,687,773.12
0.431% P&G -2294786018.00

VG =

CUANDO SE COMPRA Y SE HACE LA SIMULTANEA EL MISMO

 600
365
)

-1

VS

E LA SIMULTANEA EL MISMO DIA

 DURACION CONVEXIDAD

DC1 $ 1,314,176,646.25 vp*n CC1

DC2 $ 2,495,670,261.18 CC2
DC3 $ 3,541,435,804.02 CC3
DC4 $ 4,462,929,618.73 CC4
DC5 $ 52,121,888,866.51 CC5
DTOTAL -$ 60,374,033,235.78 CCT

0.50% = 1pbs
perdida por cada pbs -$ 297,872,924.82
perdida por cada pbs -$ 37,386,461.75
perdida por cada pbs -$ 60,374,033,235.78 x 0.50%
perdida por cada pbs Vto simul -$ 7,558,418,718.37 x 0.50%
-$ 1,000,000,000 = -$ 60,374,033,235.78 x
-$ 1,000,000,000 = -$ 7,558,418,718.37 x
A B C X1
$ 159,889,654,386.78 -$ 60,374,033,235.78 -$ 1,000,000,000 X2

Avto Bvto Cvto X1VTO

$ 16,225,273,650.02 -$ 7,558,418,718.37 -$ 1,000,000,000 X2VTO
 CONVEXIDAD Vto Simultanea

$ 2,613,951,356.66 vp*n*(n+1) DURACION

$ 7,459,660,972.47 C3 $ 3,541,435,804.02
$ 14,126,932,960.71 CP $ 4,462,929,618.73
$ 22,265,739,275.89 CTOTAL -$ 7,558,418,718.37
$ 312,160,134,416.95
$ 319,779,308,773.55

+ $ 319,779,308,773.55 x
+ $ 32,450,547,300.05 x
X + $ 319,779,308,773.55
X + $ 32,450,547,300.05
39%
STOPLOSS
-1.59%

57%
STOPLOSSVTO
-10.75%
 MAXPERDIDA $ 1,000,000,000
Vto Simultanea

CONVEXIDAD
$ 14,126,932,960.71
$ 22,265,739,275.89 Dmod -3.94
$ 32,450,547,300.05 Daños 4.17
Dmod vto -0.59
Daños vto 0.63

2
0.50% x (1/2) = -$ 297,872,924.82
0.50% x (1/2) = -$ 37,386,461.75
x X^2 x (1/2)
x X^2 x (1/2)