Bond A

Investment horizen
Maturity of the bond
Coupon
Reinvestment rate
Yield on a 17 year bond after three
years
Market price
Face value
Total return (Rs)
Total return (%)

3 years
20 years
9%
3%
5%
109.90
100.00

6 pds
40 pds
4.5 Rs
1.50%
2.50%
109.90 Rs
100.00 Rs
173.48 Rs
16.44%

reinvestment
rate from
period 0 to 3
yrs

16.44%
1.50%
2.00%
2.50%
3.00%
3.50%
4.00%
4.50%
5.00%

2.50%
0.1643663
0.1651568
0.1659567
0.1667661
0.1675851
0.1684138
0.1692522
0.1701004

6.00% 0.1718266

173.48
1.50%
2.00%
2.50%
3.00%
3.50%
4.00%
4.50%
5.00%
6.00%

Yield to maturity
2.50%
173.48
173.83
174.19
174.56
174.92
175.30
175.67
176.06
176.84

3.00%
0.132754
0.133589
0.134434
0.135289
0.136154
0.137029
0.137914
0.13881

3.50%
0.103653
0.104533
0.105423
0.106323
0.107234
0.108155
0.109087
0.11003

4.00%
0.076874
0.077798
0.078732
0.079678
0.080634
0.081601
0.082579
0.083569

4.50%
0.052236
0.053204
0.054183
0.055173
0.056174
0.057186
0.05821
0.059246

5.00%
0.029572
0.030582
0.031604
0.032638
0.033683
0.03474
0.035809
0.036889

5.50%
0.00872
0.009773
0.010837
0.011914
0.013002
0.014103
0.015215
0.01634

6.00%
-0.01047
-0.00937
-0.00827
-0.00715
-0.00602
-0.00488
-0.00372
-0.00255

0.140632 0.111947 0.085581 0.061351 0.039086 0.018626

-0.00018

Yield to maturity of a 17 year bond at the end of the investment horizen

3.00%
3.50%
4.00%
4.50%
5.00%
5.50%
159.73
147.73
137.24
128.03
119.94
112.80
160.08
148.09
137.59
128.39
120.29
113.15
160.44
148.45
137.95
128.74
120.65
113.51
160.81
148.81
138.31
129.11
121.01
113.87
161.17
149.18
138.68
129.48
121.38
114.24
161.55
149.55
139.05
129.85
121.75
114.61
161.92
149.93
139.43
130.23
122.13
114.99
162.31
150.31
139.81
130.61
122.51
115.37
163.09
151.09
140.59
131.39
123.29
116.15

6.00%
106.48
106.83
107.19
107.56
107.92
108.30
108.67
109.06
109.84

Scenario Summary
Current Values:

stock price upto 52

Changing Cells:
$A$4
49.0
52.0
$B$4
50.0
50.0
$C$4
0.2500
0.0500
$D$4
0.2000
0.2000
$E$4
0.385
0.385
Result Cells:
$K$4
4.5501
4.2466
Notes: Current Values column represents values of changing cells at
time Scenario Summary Report was created. Changing cells for each
scenario are highlighted in gray.

excercise price down 45

interest rate high by 25bps

volatility increse by 25%

time increse by 0.5 years

49.0
45.0
0.0500
0.2000
0.385

49.0
50.0
0.2500
0.2000
0.385

49.0
50.0
0.2500
0.2000
0.385

49.0
50.0
0.0500
0.2000
0.500

5.5004

4.5501

4.5501

2.8745

$A$4:$E$4 by

(All)

Row Labels
excercise price down 45
interest rate high by 25bps
stock price upto 52
time increse by 0.5 years
volatility increse by 25%

$K$4
5.50038503
4.550071182
4.246586566
2.874452022
4.550071182

Scenario Summary
Current Values:

interest rate high by 25bps

Changing Cells:
stock_price
49.0
excersise_price
50.0
interest_rate
0.2500
volatility
0.2000
time
0.385
Result Cells:
$K$4
4.5501
Notes: Current Values column represents values of changing cells at
time Scenario Summary Report was created. Changing cells for each
scenario are highlighted in gray.

49.0
50.0
0.2500
0.2000
0.385
4.5501

volatility increse by 25%

time increse by 0.5 years

49.0
50.0
0.2500
0.2000
0.385

49.0
50.0
0.0500
0.2000
0.500

4.5501

2.8745

S
50.0

K
50.0

r
0.0500

sigma
0.2000

C=S*N(d1)-Ke^(-rt)N(d2)
T
d1
d2
0.385
0.2171
0.0930

S
49.0

K
50.0

r
0.1

sigma
0.2

P=Ke^(-rt) N(-d2) -SN(-d1)

T
d1
d2
0.3
0.1441
0.0341

N(d1)
0.5859

N(d2)
0.5371

N(-d1)
0.4427

N(-d2)
0.4864

Ke^(-rt)
49.0476

C
2.9545

Ke^(-rt)
48.5223

P
1.9083

sigma

22.7
22.7
22.7
22.7
22.7
22.7

20.0
21.0
22.0
23.0
24.0
25.0

0.0004
0.0004
0.0004
0.0004
0.0004
0.0004

0.2700
0.2661
0.2646
0.2589
0.2627
0.2749

C=S*N(d1)-Ke^(-rt)N(d2)
T
d1
d2
0.077
0.077
0.077
0.077
0.077
0.077

1.7345
1.0979
0.4700
-0.1404
-0.7214
-1.2216

1.6596
1.0241
0.3966
-0.2122
-0.7943
-1.2978

N(d1)

N(d2)

0.9586
0.8639
0.6808
0.4442
0.2353
0.1109

0.9515
0.8471
0.6542
0.4160
0.2135
0.0972

N(d1)

N(d2)

long term
C=S*N(d1)-Ke^(-rt)N(d2)
T
d1
d2

sigma

22.7
22.7
22.7
22.7
22.7

21.0
22.0
23.0
24.0
25.0

0.0102
0.0102
0.0102
0.0102
0.0102

0.0000
0.0000
0.0768
0.0000
0.0830

5.000
5.000
5.000
5.000
5.000

#DIV/0!
#DIV/0!
0.3089
#DIV/0!
-0.1524

#DIV/0!
#DIV/0!
0.1371
#DIV/0!
-0.3380

#DIV/0!
#DIV/0!
0.6213
#DIV/0!
0.4394

#DIV/0!
#DIV/0!
0.5545
#DIV/0!
0.3677

S
22.7
22.7
22.7
22.7
22.7
22.7

K
20.0
21.0
22.0
23.0
24.0
25.0

r
0.0005
0.0005
0.0005
0.0005
0.0005
0.0005

sigma
0.2730
0.2704
0.2723
0.2772
0.2681
0.2730

T
0.231
0.231
0.231
0.231
0.231
0.231

d1
1.0321
0.6652
0.3058
-0.0312
-0.3671
-0.6694

d2
0.9009
0.5353
0.1750
-0.1643
-0.4959
-0.8006

N(d1)
0.8490
0.7470
0.6201
0.4876
0.3568
0.2516

N(d2)
0.8162
0.7038
0.5694
0.4347
0.3100
0.2117

S
23.0
23.0
23.0
23.0
23.0
23.0

long term
K
20.0
21.0
22.0
23.0
24.0
25.0

1year
R
0.0014
0.0014
0.0014
0.0014
0.0014
0.0014

SD
0.1996
0.2040
0.2134
0.2157
0.2212
0.2176

T
1.000
1.000
1.000
1.000
1.000
1.000

D1
0.8071
0.5548
0.3215
0.1143
-0.0755
-0.2680

D2
0.6075
0.3508
0.1081
-0.1014
-0.2967
-0.4856

N(D1)
0.7902
0.7105
0.6261
0.5455
0.4699
0.3943

N(D2)
0.7282
0.6371
0.5430
0.4596
0.3834
0.3136

S
24.0
24.0
24.0

2 year
K
20.0
21.0
22.0

RF
0.0030
0.0030
0.0030

SD
0.1780
0.1951
0.2015

T
2.000
2.000
2.000

D1
0.8739
0.6437
0.4689

D2
0.6222
0.3679
0.1840

N(D1)
0.8089
0.7401
0.6804

N(D2)
0.7331
0.6435
0.5730

august

24.0
24.0
24.0

23.0
24.0
25.0

0.0030
0.0030
0.0030

0.2161
0.2200
0.2213

2.000
2.000
2.000

0.3117
0.1748
0.0452

0.0061
-0.1363
-0.2677

0.6224
0.5694
0.5180

0.5024
0.4458
0.3945

s
k
Ke^(-rt)
19.9994
20.9994
21.9993
22.9993
23.9993
24.9992

C
2.7400
1.8300
1.0700
0.5200
0.2200
0.0900

spot price
strike price
r

singma
t

change in spot leads to change in

rf rate if interest

volatility of spot price

time

0.076923077
agar byuer money borrow karta hai if interst rate increse hojae toh
ie call price rises
sell karega 3.5,agar execrise karega toh 1 milega..
sell=iv+tv

if exericse then only u get iv

amercican call cannot execise before expiry

Ke^(-rt)

if short call combined with the long call is called delta hedge portfolio.

depend upon delta

19.9559
20.9061
21.8564
22.8067
23.7570

#DIV/0!
#DIV/0!
1.9900
#DIV/0!
1.2400

Ke^(-rt)
19.9977
20.9976
21.9975
22.9973
23.9972
24.9971

C
2.9500
2.1800
1.5500
1.0700
0.6600
0.4200

Ke^(-rt)
19.9720
20.9706
21.9692
22.9678
23.9664
24.9650

C
3.6300
2.9800
2.4700
1.9900
1.6200
1.2400

Ke^-rt
19.8804
20.8744
21.8684

CP
4.8400
4.3300
3.8000

if stock price increse,

l

if volTILITY COME DOWN means in long run

22.8624
23.8564
24.8504

3.4500
3.0300
2.6300

change in spot leads to change in d1 ,d2, ndi, nds,

i if interst rate increse hojae toh vo call premium jyda charge karega for seller.

a toh 1 milega..

then only u get iv

edge portfolio.

COME DOWN means in long run price is stable

S
49.0
50.0
51.0
52.0
53.0
54.0

K
50.0
50.0
50.0
50.0
50.0
50.0

r
0.1
0.1
0.1
0.1
0.1
0.1

sigma
0.2
0.2
0.2
0.2
0.2
0.2

P=Ke^(-rt) N(-d2) -SN(-d1)

T
d1
d2
0.3
0.1441
0.0341
0.3
0.3277
0.2177
0.3
0.5078
0.3978
0.3
0.6843
0.5743
0.3
0.8574
0.7474
0.3
1.0274
0.9174

S
49.0
49.0
49.0
49.0
49.0
49.0
49.0
49.0

K
50.0
51.0
52.0
53.0
54.0
55.0
56.0
57.0

r
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1

sigma
0.2
0.2
0.2
0.2
0.2
0.2
0.2
0.2

T
0.3
0.3
0.3
0.3
0.3
0.3
0.3
0.3

d1
0.1441
-0.0360
-0.2125
-0.3857
-0.5556
-0.7224
-0.8862
-1.0471

d2
0.0341
-0.1460
-0.3225
-0.4957
-0.6656
-0.8324
-0.9962
-1.1571

N(-d1)
0.4427
0.3716
0.3058
0.2469
0.1956
0.1521

N(-d2)
0.4864
0.4138
0.3454
0.2829
0.2274
0.1795

N(-d1)
0.4427
0.5143
0.5841
0.6501
0.7108
0.7650
0.8122
0.8525

N(-d2)
0.4864
0.5580
0.6265
0.6899
0.7472
0.7974
0.8404
0.8764

Ke^(-rt)
48.5223
48.5223
48.5223
48.5223
48.5223
48.5223

P
1.9083
1.5016
1.1634
0.8877
0.6671
0.4939

Ke^(-rt)
48.5223
49.4927
50.4632
51.4336
52.4041
53.3745
54.3449
55.3154

P
1.9083
2.4153
2.9904
3.6296
4.3274
5.0775
5.8728
6.7064