Ejercicio Cash Flow Mapping RM (1)

Dada la siguiente Información, Calcular los Cuadros en Amarillo. Use la información de Mercado Incluida

Date Maturity Flow

RiskMetrics™ vertex 3-Apr-91 5.00

Flow ---> 24-Apr-97 6.08 7,500

RiskMetrics™ vertex 5-Apr-91 7.00

2.00

Yield Curve Years 0.083 1 2 3RiskMetrics™ vertices 1m 1y 2y 3y

Yield volatility 6.995 3.160 2.104 1.735Current yield 8.250 7.038 7.275 7.391

Price volatility 0.044 0.208 0.285 0.3581m 1 0.753 0.527 0.4791y 0.753 1 0.881 0.8092y 0.527 0.881 1 0.9853y 0.479 0.809 0.985 14y 0.451 0.782 0.955 0.9835y 0.417 0.737 0.916 0.9527y 0.331 0.611 0.799 0.848

10y 0.334 0.625 0.819 0.86515y 0.326 0.579 0.764 0.811

Dada la siguiente Información, Calcular los Cuadros en Amarillo. Use la información de Mercado Incluida

Yield PV Yield Vol Md. Dur P.Vol Flows

4 5 7 10 154y 5y 7y 10y 15y

1.630 1.503 1.374 1.358 1.2897.536 7.628 7.794 7.916 8.1540.457 0.533 0.696 0.996 1.4580.451 0.417 0.331 0.334 0.3260.782 0.737 0.611 0.625 0.5790.955 0.916 0.799 0.819 0.7640.983 0.952 0.848 0.865 0.811

1 0.991 0.914 0.925 0.8840.991 1 0.963 0.963 0.9340.914 0.963 1 0.998 0.9910.925 0.963 0.998 1 0.9930.884 0.934 0.991 0.993 1