BulletVALUACION DE BONOSBono BulletDetalleEscenarios1234567Valor nominal del bono ($)VN100100100100100100100Tasa de inters mercadoINT4%6%8%10%12%14%16%Cupn anualCUPON10101010101010Maduracin(vencimiento)T30303030303030Valor presente bonoVPB = VN / (1+INT)^T3117106321Valor presente cuponesVPC=CUPON*(1-1/(1+INT)^T) / INT17313811394817062Valor presente totalV = VPB + VPC204155123100847263GraficoPBOrdenadaPrecio Bono T=5127117108100938680OrdenadaPrecio Bono T=10149129113100897971OrdenadaPrecio Bono T=30204155123100847263AbscisaInters4%6%8%10%12%14%16%

GrfPB203.752199804148.6653746761126.7109339861155.059324606129.4403482057116.8494551423122.5155666863113.4201627979107.985420074210010010083.889632064788.699553943292.790447595371.989343551179.135537414886.267676124662.93680901371.000635129380.354238078

Precio Bono T=30Precio Bono T=10Precio Bono T=5Tasa de inters (%)Precio del Bono ($)

S.AlemnVALUACION DE BONOSBono amortizacin peridica (Sistema Alemn)Vencimiento2aosCupn9%Yield11.50%VN1,000AmortizacinsemestralAmortizacin250Clculo del precioSemestresRentaAmortizacionCFt145.00250.00278.96233.75250.00253.73322.50250.00230.42411.25250.00208.9050.00.00.0060.00.00.0070.00.00.0080.00.00.0090.00.00.00100.00.00.00110.00.00.00120.00.00.00130.00.00.00140.00.00.00972.01Precio del bono

S.FrancsVALUACION DE BONOSBono amortizacin peridica (Sistema Francs)Vencimiento5aosCupn7%Yield10%VN1,000AmortizacinsemestralClculo del precioSemestresCuota servicioCFt1120.24114.522120.24109.063120.24103.874120.2498.925120.2494.216120.2489.737120.2485.458120.2481.389120.2477.5110120.2473.82110.000.00120.000.00130.000.00140.000.00150.000.00160.000.00928.47Precio del bono928.47

YTMvsTConstruccin de la yield curveBootsrappingVN100tTasa contado18%210%311%411%510%69%P = VN / ((1+r1_)*(1+r2_)*(1+r3_)*(1+r4_)*(1+r5_)*(1+r6_))TRV = ((1+r1_)*(1+r2_)*(1+r3_)*(1+r4_)*(1+r5_)*(1+r6_))^(1/6) -1Grafico2MaduracinYTMP10.0800092.5920.0899584.1830.0966075.8340.0999368.3250.0999562.1160.0982856.98

GrfYtM0.080.08995412750.09659553480.09993139850.09994511850.0982813197

Perodo maduracin (T)YTMCurva de Rendimientos

DurationDURATIONVNB100i5%Cupon5Yield4%Maduracin2aosPBynT(i%) CupnP=C / (1+y)nwT = P / PBD = T*wTywT103.634%10.554.8080.04640.0232103.634%21.054.6230.04460.0446103.634%31.554.4450.04290.0643103.634%42.010589.7540.86611.7322103.634%52.500.0000.00000.0000103.634%63.000.0000.00000.0000103.634%73.500.0000.00000.0000103.634%84.000.0000.00000.0000103.634%94.500.0000.00000.0000103.634%105.000.0000.00000.0000Total103.631.8644DurationNota:/1/ Para reproducir D correspondiente un Bono de 5 aos con cupn semestral y para diferentes rendimientos debe fijarse i./2/ Para reproducir D correspondiente un Bono de 2 aos con cupn semestral y para diferentes rendimientos debe fijarse i y eliminarse el valor Cupn de los ltimos 6 renglones (dejando solo 4).

ConvexidadCONVEXIDADVNB100Cupn4.50y4.50%Precio100tCFtVP=1/(1+y)(t+2)t(1+t)Ct(1+t)C/(1+y)(t+2)1/(1+y)(t+2)14.500.87639.007.8924.500.838627.0022.6434.500.802554.0043.3344.500.767990.0069.1154.500.7348135.0099.2064.500.7032189.00132.9074.500.6729252.00169.5784.500.6439324.00208.6394.500.6162405.00249.5610104.500.589711495.006778.19Sumas7781.03Convexidad77.81

Wal Mart 2023Bond Yield CalculationsWal Mart 6,75Fecha9/1/98Vencimiento10/15/23quote =106.552n =51coupon rate =6.756.75%coupon freq =2coupon =3.3753.38%u =136dias que pasaron desde el ltimo cupnv =44dias que faltan para el prximo cupnw =0.2444444444accrue interest2.55Price invoice109.102Yield Calculation: Manual MethodCurrent yieldyield6.2298153122