Worksheet Title

7.11 Market data: extracted from Market Data worksheet for Chapter
7.12 Pricing an in-arrears swap with CX adjustments
7.13 Pricing an in-arrears swap via Simulation to assess CX
7.14 Creating a customised average-rate swap with CX adjustment
7.15 Turbo Swaps - pricing a 4 year qu/qu swap with CX adjustment
7.16 Pricing a Constant Maturity Swap with Convexity Adjustment
7.17 Pricing a Constant Maturity Swap with CX Adjustment - using H
7.18 Pricing a Constant Maturity Swap with Convexity Adjustment an
7.19 Measuring the convexity effect of a Constant Maturity Swap und
7.20 Measuring the scale of the convexity effect of a Constant Maturi

Data worksheet for Chapter 7 Appendix

djustments
ation to assess CX
wap with CX adjustment
swap with CX adjustment
th Convexity Adjustment
th CX Adjustment - using Hagan's model
th Convexity Adjustment and Timing Adjustment
Constant Maturity Swap under parallel shifts
effect of a Constant Maturity Swap by simulation

7.11: Market data: extracted from Market Data worksheet for Chapter 7 Appendix
Today's date:

4-Feb-08
DF's

6-Feb-08
6-May-08
6-Aug-08
6-Nov-08
6-Feb-09
6-May-09
6-Aug-09
6-Nov-09
8-Feb-10
6-May-10
6-Aug-10
8-Nov-10
7-Feb-11
6-May-11
8-Aug-11
7-Nov-11
6-Feb-12
7-May-12
6-Aug-12
6-Nov-12
6-Feb-13
6-May-13
6-Aug-13
6-Nov-13
6-Feb-14
6-May-14
6-Aug-14
6-Nov-14
6-Feb-15
6-May-15
6-Aug-15
6-Nov-15
8-Feb-16
6-May-16
8-Aug-16
7-Nov-16

1
0.992199
0.984582
0.977757
0.971397
0.965383
0.959112
0.952586
0.945458
0.938249
0.930114
0.921421
0.912764
0.904277
0.895080
0.886033
0.876830
0.867460
0.857939
0.848181
0.838308
0.828657
0.818623
0.808572
0.798542
0.788893
0.778986
0.769156
0.759411
0.750070
0.740476
0.730914
0.721150
0.711980
0.702199
0.692775

Time Z-c rates

0.019
0.081
0.250
0.506
0.761
1.017
1.264
1.519
1.775
2.036
2.278
2.533
2.794
3.047
3.292
3.553
3.806
4.058
4.311
4.564
4.819
5.075
5.322
5.578
5.833
6.089
6.336
6.592
6.847
7.103
7.350
7.606
7.861
8.122
8.367

3.216%
3.177%
3.133%
3.073%
2.955%
2.854%
2.787%
2.748%
2.737%
2.755%
2.798%
2.860%
2.929%
2.995%
3.057%
3.120%
3.180%
3.239%
3.298%
3.357%
3.417%
3.475%
3.531%
3.588%
3.643%
3.695%
3.742%
3.789%
3.833%
3.875%
3.913%
3.951%
3.987%
4.025%
4.060%

gradient

-0.0064
-0.0026
-0.0023
-0.0046
-0.0040
-0.0027
-0.0016
-0.0004
0.0007
0.0018
0.0024
0.0026
0.0026
0.0025
0.0024
0.0024
0.0023
0.0023
0.0023
0.0023
0.0023
0.0023
0.0022
0.0021
0.0020
0.0019
0.0018
0.0017
0.0016
0.0015
0.0015
0.0014
0.0014
0.0014
0.0014

6-Feb-17
8-May-17
7-Aug-17
6-Nov-17
6-Feb-18
7-May-18
6-Aug-18
6-Nov-18
6-Feb-19
6-May-19
6-Aug-19
6-Nov-19
6-Feb-20
6-May-20
6-Aug-20
6-Nov-20
8-Feb-21
6-May-21
6-Aug-21
8-Nov-21
7-Feb-22
6-May-22
8-Aug-22
7-Nov-22
6-Feb-23
8-May-23
7-Aug-23
6-Nov-23
6-Feb-24
6-May-24
6-Aug-24
6-Nov-24
6-Feb-25
6-May-25
6-Aug-25
6-Nov-25
6-Feb-26
6-May-26
6-Aug-26
6-Nov-26
8-Feb-27
6-May-27
6-Aug-27

0.683432
0.674199
0.665077
0.656066
0.647070
0.638378
0.629697
0.621026
0.612459
0.604262
0.595886
0.587602
0.579409
0.571476
0.563459
0.555537
0.547547
0.540244
0.532627
0.524957
0.517641
0.510671
0.503346
0.496370
0.489511
0.482770
0.476145
0.469632
0.463159
0.456933
0.450675
0.444521
0.438469
0.432708
0.426850
0.421087
0.415418
0.410018
0.404525
0.399120
0.393684
0.388729
0.383570

8.628
8.881
9.133
9.386
9.639
9.892
10.147
10.397
10.650
10.906
11.161
11.408
11.664
11.919
12.175
12.425
12.681
12.936
13.197
13.439
13.694
13.956
14.208
14.453
14.714
14.967
15.219
15.472
15.725
15.978
16.233
16.483
16.739
16.994
17.250
17.497
17.753
18.008
18.264
18.511
18.767
19.022
19.283

4.098%
4.133%
4.167%
4.200%
4.231%
4.261%
4.290%
4.317%
4.343%
4.368%
4.393%
4.416%
4.439%
4.461%
4.483%
4.503%
4.524%
4.544%
4.564%
4.582%
4.600%
4.618%
4.634%
4.650%
4.666%
4.680%
4.694%
4.707%
4.719%
4.730%
4.741%
4.752%
4.761%
4.771%
4.780%
4.788%
4.795%
4.803%
4.810%
4.816%
4.823%
4.829%
4.834%

0.0014
0.0014
0.0013
0.0012
0.0012
0.0011
0.0011
0.0010
0.0010
0.0010
0.0009
0.0009
0.0009
0.0008
0.0008
0.0008
0.0008
0.0008
0.0007
0.0007
0.0007
0.0007
0.0006
0.0006
0.0006
0.0005
0.0005
0.0005
0.0005
0.0004
0.0004
0.0004
0.0004
0.0003
0.0003
0.0003
0.0003
0.0003
0.0003
0.0002
0.0002
0.0002
0.0002

8-Nov-27
7-Feb-28
8-May-28
7-Aug-28
6-Nov-28
6-Feb-29
7-May-29
6-Aug-29
6-Nov-29
6-Feb-30
6-May-30
6-Aug-30
6-Nov-30
6-Feb-31
6-May-31
6-Aug-31
6-Nov-31
6-Feb-32
6-May-32
6-Aug-32
8-Nov-32
7-Feb-33
6-May-33
8-Aug-33
7-Nov-33
6-Feb-34
8-May-34
7-Aug-34
6-Nov-34
6-Feb-35
7-May-35
6-Aug-35
6-Nov-35
6-Feb-36
6-May-36
6-Aug-36
6-Nov-36
6-Feb-37
6-May-37
6-Aug-37
6-Nov-37
8-Feb-38

0.378381
0.373434
0.368562
0.363763
0.359037
0.354332
0.349799
0.345286
0.340794
0.336371
0.332158
0.327870
0.323650
0.319496
0.315538
0.311512
0.307549
0.303649
0.299893
0.296114
0.292316
0.288697
0.285251
0.281629
0.278176
0.274776
0.271426
0.268126
0.264873
0.261632
0.258506
0.255389
0.252281
0.249216
0.246256
0.243271
0.240325
0.237417
0.234639
0.231803
0.229002
0.226176

19.525
19.781
20.042
20.294
20.547
20.800
21.053
21.308
21.558
21.811
22.067
22.322
22.569
22.825
23.081
23.336
23.583
23.839
24.094
24.350
24.600
24.856
25.117
25.369
25.614
25.875
26.128
26.381
26.633
26.886
27.139
27.394
27.644
27.897
28.153
28.408
28.658
28.914
29.169
29.425
29.672
29.928
30.183

4.839%
4.844%
4.849%
4.854%
4.858%
4.862%
4.866%
4.869%
4.872%
4.875%
4.878%
4.881%
4.883%
4.886%
4.888%
4.889%
4.891%
4.892%
4.894%
4.895%
4.896%
4.896%
4.897%
4.897%
4.897%
4.897%
4.897%
4.897%
4.896%
4.896%
4.895%
4.894%
4.894%
4.893%
4.892%
4.891%
4.890%
4.889%
4.888%
4.887%
4.886%
4.885%
4.884%

0.0002
0.0002
0.0002
0.0002
0.0002
0.0001
0.0001
0.0001
0.0001
0.0001
0.0001
0.0001
0.0001
0.0001
0.0001
0.0001
0.0001
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000

30.444

4.882%

apter 7 Appendix

7.12: Pricing an in-arrears swap with CX adjustments

Today's date =
Swap structure
Maturity
Principal
To receive
To pay

4-Feb-08
5 years
100 m USD
3m Libor
3m Libor - margin

in-arrears
in advance

No convexity adjustment

Convexity adjustment with reversion

Instantaneous Volatility =

Swap
dates

Time
count
(Act/360)

Day
count
(Act/360)

IBOR
df's

Implied
Forward
rates

[1]
6-Feb-08
6-May-08
6-Aug-08
6-Nov-08
6-Feb-09
6-May-09
6-Aug-09
6-Nov-09
8-Feb-10
6-May-10
6-Aug-10
8-Nov-10
7-Feb-11
6-May-11
8-Aug-11
7-Nov-11
6-Feb-12
7-May-12
6-Aug-12
6-Nov-12
6-Feb-13
6-May-13

0.25
0.51
0.76
1.02
1.26
1.52
1.78
2.04
2.28
2.53
2.79
3.05
3.29
3.55
3.81
4.06
4.31
4.56
4.82
5.08
5.32

0.250
0.256
0.256
0.256
0.247
0.256
0.256
0.261
0.242
0.256
0.261
0.253
0.244
0.261
0.253
0.253
0.253
0.253
0.256
0.256
0.247

1
0.992199
0.984582
0.977757
0.971397
0.965383
0.959112
0.952586
0.945458
0.938249
0.930114
0.921421
0.912764
0.904277
0.895080
0.886033
0.876830
0.867460
0.857939
0.848181
0.838308
0.828657

3.14500%
3.027%
2.731%
2.562%
2.520%
2.558%
2.681%
2.887%
3.179%
3.422%
3.613%
3.752%
3.839%
3.935%
4.039%
4.152%
4.273%
4.390%
4.502%
4.609%
4.71095%

|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|

Present Value =>

Swap
cashflows
receive side

Swap
cashflows
pay side

7.52
[2]
0.7568
0.6980
0.6548
0.6439
0.6325
0.6852
0.7379
0.8301
0.8270
0.9234
0.9797
0.9705
0.9619
1.0547
1.0496
1.0802
1.1097
1.1379
1.1778
1.2039

16.5209
Q=

[3]
-0.7863
-0.7736
-0.6980
-0.6548
-0.6229
-0.6538
-0.6852
-0.7539
-0.7683
-0.8746
-0.9435
-0.9484
-0.9385
-1.0275
-1.0211
-1.0496
-1.0802
-1.1097
-1.1505
-1.1778

-16.1692
4.67512788

| Reversion factor =
|
|
|
phi
exp(phi)
|
|
|
|
|
|
[5]
[6]
|
0.000000
1
|
0.000002 1.00000162
|
0.000003 1.00000325
|
0.000005 1.00000487
|
0.000006 1.00000606
|
0.000008 1.00000801
|
0.000010 1.00000958
|
0.000012 1.00001162
|
0.000011 1.00001137
|
0.000014 1.00001415
|
0.000016 1.00001634
|
0.000017 1.00001681
|
0.000017 1.00001706
|
0.000021 1.00002092
|
0.000021 1.00002106
|
0.000022 1.00002244
|
0.000024 1.00002382
|
0.000025 1.00002518
|
0.000027 1.00002711
|
0.000028 1.00002848
|
0.000028 1.00002793

1%

Convexity
adjusted
forward
rates

[7]
3.028%
2.733%
2.564%
2.522%
2.562%
2.685%
2.892%
3.184%
3.428%
3.620%
3.759%
3.846%
3.943%
4.048%
4.161%
4.283%
4.400%
4.513%
4.620%
4.722%

Non Estimation of margin

quanto
Volatility --->
1.0%
1.2%
8.09
8.34
7.52
7.52

Convexity adjustment with zero reversion

2% |
|
Swap |
cashflows |
receive side |
|
|
8.09 |
|
[8]
|
|
0.7570 |
0.6981 |
0.6551 |
0.6444 |
0.6331 |
0.6860 |
0.7388 |
0.8314 |
0.8281 |
0.9248 |
0.9814 |
0.9723 |
0.9635 |
1.0569 |
1.0517 |
1.0825 |
1.1121 |
1.1405 |
1.1805 |
1.2069 |

16.5473

Instantaneous Volatility =

phi

exp(phi)

1%

Convexity
adjusted
forward
rates

Swap
cashflows
receive side

1.4%
8.63
7.52

1.6%
8.97
7.52

1.8%
9.35
7.52

2.0%
9.78
7.52

5 yr. In-arrears In-advance basis swap

10.00

8.19

9.50
9.00

[9]
0.000000
0.000002
0.000003
0.000005
0.000006
0.000008
0.000010
0.000012
0.000012
0.000015
0.000017
0.000018
0.000018
0.000022
0.000023
0.000024
0.000026
0.000028
0.000030
0.000031
0.000031

[10]
1
1.000002
1.000003
1.000005
1.000006
1.000008
1.000010
1.000012
1.000012
1.000015
1.000017
1.000018
1.000018
1.000022
1.000023
1.000024
1.000026
1.000028
1.000030
1.000031
1.000031

[11]
3.028%
2.733%
2.564%
2.522%
2.562%
2.685%
2.892%
3.184%
3.428%
3.620%
3.759%
3.847%
3.944%
4.048%
4.162%
4.284%
4.401%
4.514%
4.621%
4.724%

[12]
0.7570
0.6983
0.6553
0.6446
0.6333
0.6862
0.7391
0.8314
0.8284
0.9251
0.9815
0.9724
0.9640
1.0571
1.0520
1.0829
1.1125
1.1409
1.1810
1.2072

16.5519

8.50
8.00
margin
(bp)
7.50
7.00

Convexity-adjusted
Non-adjusted

6.50
6.00
1.0%

1.1%

1.2%

1.3%

1.4%
1.5%
1.6%
Instantaneous Volatility

1.7%

1.8%

1.9%

2.0%

7.13: Pricing an in-arrears swap via Simulation to assess CX

Today's date =
Swap structure
Maturity
Principal
To receive
To pay

4-Feb-08
5 years
100 m USD
3m Libor
3m Libor - margin

in-arrears
in advance

Run simulation?

Swap
dates

Time
count
(Act/360)

Day
count
(Act/360)

Curve
IBOR
DFs

Curve
discount
bond
prices

Random
discount
bond
prices

|
|
Implied |
Forward |
rates |
|
|
|
|
[5]
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|

IBOR
DFs

1.00%

6-Feb-08
6-May-08
6-Aug-08
6-Nov-08
6-Feb-09
6-May-09
6-Aug-09
6-Nov-09
8-Feb-10
6-May-10
6-Aug-10
8-Nov-10
7-Feb-11
6-May-11
8-Aug-11
7-Nov-11
6-Feb-12
7-May-12
6-Aug-12
6-Nov-12
6-Feb-13
6-May-13

0.25
0.51
0.76
1.02
1.26
1.52
1.78
2.04
2.28
2.53
2.79
3.05
3.29
3.55
3.81
4.06
4.31
4.56
4.82
5.08
5.32

0.250
0.256
0.256
0.256
0.247
0.256
0.256
0.261
0.242
0.256
0.261
0.253
0.244
0.261
0.253
0.253
0.253
0.253
0.256
0.256
0.247

[1]
1
0.992199
0.984582
0.977757
0.971397
0.965383
0.959112
0.952586
0.945458
0.938249
0.930114
0.921421
0.912764
0.904277
0.895080
0.886033
0.876830
0.867460
0.857939
0.848181
0.838308
0.828657

[2]
0.992199
0.992323
0.993069
0.993495
0.993809
0.993504
0.993195
0.992517
0.992375
0.991330
0.990653
0.990605
0.990702
0.989830
0.989893
0.989613
0.989313
0.989025
0.988626
0.988359
0.988488

[3]
0.992199
0.992323
0.993069
0.993495
0.993809
0.993504
0.993195
0.992517
0.992375
0.991330
0.990653
0.990605
0.990702
0.989830
0.989893
0.989613
0.989313
0.989025
0.988626
0.988359
0.988488

[4]
1
0.992199
0.984582
0.977757
0.971397
0.965383
0.959112
0.952586
0.945458
0.938249
0.930114
0.921421
0.912764
0.904277
0.895080
0.886033
0.876830
0.867460
0.857939
0.848181
0.838308
0.828657

Swap
cashflows
receive side

0.7568
0.6980
0.6548
0.6439
0.6325
0.6852
0.7379
0.8301
0.8270
0.9234
0.9797
0.9705
0.9619
1.0547
1.0496
1.0802
1.1097
1.1379
1.1778
1.2039

Present Value =

16.5209

Q=
Margin adjustment

Swap
cashflows
pay side

Results of Simulation
count
average margin

Static
results
500
0.00

0.54

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

8.02
10.44
-8.22
23.63
-7.79
7.54
-5.04
27.37
-17.67
11.50
9.17
1.23
7.38
-1.41
-11.27
2.12
-12.03
2.89
-35.85
-2.51
-1.30
-6.64
11.97
-4.50
15.62
-11.59
11.49
-2.72
1.04
3.58
3.88
-10.88
-0.77
-11.58
10.21
-1.23
-6.07
0.15
1.10
-10.77
-0.57
12.21
0.20
5.74
3.55
-5.01
-13.09
1.64
2.32
-4.12
23.73
-2.72
-9.16
-1.27
6.84
4.93
12.63
2.73
0.18
14.77
1.87
-13.63
-3.80
-12.95
7.98
-10.08
-10.97
-17.64
1.71
-0.86
-21.47
-10.38
-14.66
-1.96
-18.97
-5.96
29.65
4.27
-4.37
-17.94
9.01
6.98
-3.02
-14.63
-18.14
11.17
-7.12
10.24
-1.60
14.69
-7.34
19.23
4.68
-9.84
10.50
-23.45
10.50
1.47
-0.75
4.07
-7.17
-5.68
-2.93
-1.58
5.22
-16.43
3.07
9.99
9.42
-2.33
-3.40
28.56
-3.27
-4.52
8.58
-14.81
11.08
4.26
5.03
8.66
6.23
-4.25
4.17
0.42
15.45
-1.90
7.04
-1.81
5.54
-0.80
13.44
21.74
11.70
-21.78
-13.40
-14.20
10.43
11.85
0.54
0.11
3.34
-1.82
1.70
-5.73
11.42
26.89
-5.83
-2.68
-14.96
-8.84
13.60
-3.74
10.23
-2.00
16.07
14.20
-7.15
13.48
-9.35
11.72
-7.29
-3.63
12.13
6.70
2.56
10.88
10.41
4.34
0.28
1.35
13.42
0.45
9.24
-13.12
-12.98
13.87
-8.83
1.34
0.79
9.18
6.90
-7.87
-11.16
-6.62
-1.55
-23.37
13.02
-11.08
6.11
12.92
-6.86
-7.90
22.36
-15.01
4.75
-8.39
7.27
-9.79
-16.10
4.18
-2.87
-1.60
11.27
17.69
15.08
6.88
6.78
-2.77
13.85
-3.53
-14.90
13.03
-6.77
2.75
8.93
10.16
-28.03
-2.72
-2.51
12.49
-3.09
-10.43
-6.43
-15.54
-14.29
9.80
-8.68
-15.91
17.50
-16.05
19.28
-0.84
14.14
6.12
-13.61
-7.71
8.03
13.04
-3.71
-29.22
0.56
-16.11
16.92
19.23
10.41
17.40
3.79
-2.32
-10.37
-2.27
-3.61
-18.69
-22.57
1.51
13.07
4.33
10.99
-3.61
12.45

7.52

[6]

3.14500%
3.027%
2.731%
2.562%
2.520%
2.558%
2.681%
2.887%
3.179%
3.422%
3.613%
3.752%
3.839%
3.935%
4.039%
4.152%
4.273%
4.390%
4.502%
4.609%
4.711%

min
max
buckets

0.00
0.00
20
0

In-arrears Simulation showing dis tribution of Convexity Adjustments

[7]
-0.8051
-0.7929
-0.7172
-0.6740
-0.6415
-0.6731
-0.7044
-0.7736
-0.7865
-0.8938
-0.9632
-0.9674
-0.9569
-1.0471
-1.0401
-1.0686
-1.0992
-1.1287
-1.1697
-1.1970

-16.5209
4.6751279
0.00

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

0
0
0
0
0
0
0
0
0
0
0
0
0
500
0
0
0
0
0
0
0

0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
100.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%
0.0%

120.0%
100.0%
80.0%
60.0%
40.0%
20.0%
0. 0%

Mean = 0.54bp

260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401
402
403
404
405
406
407
408
409
410
411
412
413
414
415
416
417
418
419
420
421
422
423
424
425
426
427
428
429
430
431
432
433
434
435
436
437
438
439
440
441
442
443
444
445
446
447
448
449
450
451
452
453
454
455
456
457
458
459
460
461
462
463
464
465
466
467
468
469
470
471
472
473
474
475
476
477
478
479
480
481
482
483
484
485
486
487
488
489
490
491
492
493
494
495
496
497
498
499
500

0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00

3.50
-24.69
7.55
-14.80
-18.89
13.60
1.93
20.97
-8.14
-6.18
16.68
2.35
-13.20
5.31
3.40
-14.59
9.60
16.21
-20.08
6.48
-6.60
-5.95
4.82
-3.97
22.17
-7.46
6.26
-0.01
-25.09
-5.05
-13.88
10.02
0.73
2.69
6.11
2.42
9.04
-18.45
2.93
30.10
4.03
-4.34
2.56
-4.79
-7.99
-18.56
-5.70
-10.65
20.78
-8.51
5.23
-19.74
-14.19
-10.43
-11.08
-14.13
11.64
-3.56
-2.50
-3.87
-3.18
-10.96
6.69
-13.27
-21.11
0.17
-10.25
14.64
6.87
2.78
-3.25
-20.38
-4.58
10.76
1.14
-6.01
15.78
0.02
12.75
2.10
0.80
11.92
-11.68
9.75
2.44
17.24
-0.60
11.64
9.66
1.97
1.25
1.43
2.11
-3.83
9.33
-0.38
1.53
-24.06
-4.78
2.14
-9.00
3.34
-4.76
1.19
10.28
24.70
-7.16
2.01
-1.42
8.26
-1.05
10.29
-0.11
7.77
0.56
-1.76
-9.50
-1.19
1.89
5.57
3.60
5.41
-21.46
24.49
5.51
-4.95
5.23
1.31
3.96
5.83
11.34
10.25
-22.65
2.35
-10.87
24.06
23.09
-3.20
3.16
-22.36
5.89
-13.71
11.80
2.11
19.05
-6.32
18.35
-19.84
11.62
6.91
17.99
-0.94
5.68
-4.60
-9.41
16.49
0.38
-2.16
17.52
-6.48
3.65
4.16
9.97
12.71
-3.22
0.35
-14.57
1.80
11.69
-9.09
-8.50
12.26
4.02
5.55
-1.58
18.26
9.29
10.53
-8.38
11.62
2.49
22.04
-11.90
7.17
-7.96
3.76
-7.27
-12.41
-3.07
4.26
0.60
-4.82
7.82
0.59
-4.80
14.11
-6.23
0.46
-11.84
-7.56
-7.11
-10.35
8.48
-1.15
-10.58
-9.39
-0.61
-11.68
24.81
-3.79
6.21
-0.44
0.38
-5.41
-20.20
22.09
4.16
-16.83
-14.44
-4.08
-0.94
6.64
22.54
-8.94
6.47
11.68
-5.23
2.61
-4.04
10.37
-20.02
18.10
-4.88
4.86
-17.82
-4.52
0.99
21.73
1.95
10.92
13.27

5.33 Creating a customised average-rate swap with convexity adjustment

7.14: Creating a customised average-rate swap with CX adjustment
Today's date =
Structure of Debt
Next payment
Date
20-Feb-08
7-Mar-08
21-Mar-08
3-Apr-08
17-Apr-08

Today's date =

4-Feb-08

Structure of Debt
Next payment
Date
20-Feb-08
7-Mar-08
21-Mar-08
3-Apr-08
17-Apr-08

Principal
100
50
75
100
25

4-Feb-08

Principal
100
50
75
100
25

Last fixing
date
20-Nov-07
7-Dec-07
21-Dec-07
3-Jan-08
17-Jan-08

Last fixing
3.32500%
3.31500%
3.29750%
3.27250%
3.22500%

Weights
28.57%
14.29%
21.43%
28.57%
7.14%

Margin
(bp)
25
35
30
25
50

Estimated Average fixed rate

Debt 1
Dates

3
6
9
12
15
18
21
24
27
30
33

20-Nov-07
[1]
6-Feb-08
20-Feb-08
20-May-08
20-Aug-08
20-Nov-08
20-Feb-09
20-May-09
20-Aug-09
20-Nov-09
22-Feb-10
20-May-10
20-Aug-10
22-Nov-10

Debt 2

Day
count
(Act/360)

DFs

phi

[2]
0.256
0.250
0.256
0.256
0.256
0.247
0.256
0.256
0.261
0.242
0.256
0.261

1
0.998755
0.991017
0.983502
0.976754
0.970427
0.964414
0.958113
0.951526
0.944307
0.937025
0.928836
0.920104

Implied
3mo.
Forward
rates
[3]

0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000

3.32500%
3.123%
2.990%
2.703%
2.551%
2.522%
2.573%
2.709%
2.928%
3.216%
3.450%
3.634%

Dates

7-Dec-07
[4]
6-Feb-08
7-Mar-08
9-Jun-08
8-Sep-08
8-Dec-08
9-Mar-09
8-Jun-09
7-Sep-09
7-Dec-09
8-Mar-10
7-Jun-10
7-Sep-10
7-Dec-10

Day
count
(Act/360)

Debt 3
DFs

phi

[5]
0.253
0.261
0.253
0.253
0.253
0.253
0.253
0.253
0.253
0.253
0.256
0.253

1
0.997356
0.989342
0.982060
0.975483
0.969262
0.963107
0.956831
0.950239
0.943153
0.935445
0.927183
0.918687

Implied
3mo.
Forward
rates
[6]

0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000

3.31500%
3.102%
2.933%
2.667%
2.539%
2.528%
2.595%
2.744%
2.972%
3.260%
3.487%
3.659%

Dates

21-Dec-07
[7]
6-Feb-08
21-Mar-08
23-Jun-08
22-Sep-08
22-Dec-08
23-Mar-09
22-Jun-09
21-Sep-09
21-Dec-09
22-Mar-10
21-Jun-10
21-Sep-10
21-Dec-10

Day
count
(Act/360)

DFs

Debt 4
phi

[8]
0.253
0.261
0.253
0.253
0.253
0.253
0.253
0.253
0.253
0.253
0.256
0.253

1
0.996138
0.988180
0.981015
0.974509
0.968312
0.962150
0.955837
0.949178
0.941995
0.934209
0.925891
0.917359

Implied
3mo.
Forward
rates
[9]

0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000

3.29750%
3.084%
2.889%
2.641%
2.532%
2.533%
2.613%
2.775%
3.016%
3.297%
3.515%
3.680%

Dates

3-Jan-08
[10]
6-Feb-08
3-Apr-08
3-Jul-08
3-Oct-08
5-Jan-09
3-Apr-09
3-Jul-09
5-Oct-09
4-Jan-10
5-Apr-10
5-Jul-10
4-Oct-10
3-Jan-11

Day
count
(Act/360)

DFs

Debt 5
phi

[11]
0.253
0.253
0.256
0.261
0.244
0.253
0.261
0.253
0.253
0.253
0.253
0.253

1
0.995014
0.987355
0.980205
0.973548
0.967571
0.961402
0.954845
0.948116
0.940834
0.932969
0.924687
0.916120

Implied
3mo.
Forward
rates
[12]

0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000

3.27250%
3.069%
2.854%
2.619%
2.527%
2.539%
2.630%
2.808%
3.062%
3.335%
3.543%
3.699%

Dates

17-Jan-08
[13]
6-Feb-08
17-Apr-08
17-Jul-08
17-Oct-08
19-Jan-09
17-Apr-09
17-Jul-09
19-Oct-09
18-Jan-10
19-Apr-10
19-Jul-10
18-Oct-10
17-Jan-11

Day
count
(Act/360)

0.253
0.253
0.256
0.261
0.244
0.253
0.261
0.253
0.253
0.253
0.253
0.253

DFs

[14]
1
0.993814
0.986207
0.979187
0.972599
0.966637
0.960455
0.953855
0.947053
0.939669
0.931723
0.923385
0.914782

Last fixing
date
20-Nov-07
7-Dec-07
21-Dec-07
3-Jan-08
17-Jan-08

Implied
3mo.
Forward
rates
[15]

0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000

3.22500%
3.051%
2.806%
2.594%
2.523%
2.546%
2.650%
2.841%
3.109%
3.374%
3.573%
3.720%

Swap
dates

[16]
6-Feb-08
6-May-08
6-Aug-08
6-Nov-08
6-Feb-09
6-May-09
6-Aug-09
6-Nov-09
8-Feb-10
6-May-10
6-Aug-10
8-Nov-10
7-Feb-11

3.3250%
3.3150%
3.2975%
3.2725%
3.2250%

Weights
28.57%
14.29%
21.43%
28.57%
7.14%

3.0185%

Instantaneous Volatility =
phi

Last fixing

0%

Day
count
(Act/360)

Time
count
(Act/360)

3 mo.
forward
rates

0.250
0.256
0.256
0.256
0.247
0.256
0.256
0.261
0.242
0.256
0.261
0.253

0.250
0.506
0.761
1.017
1.264
1.519
1.775
2.036
2.278
2.533
2.794
3.047

3.133%
3.073%
2.955%
2.854%
2.787%
2.748%
2.737%
2.755%
2.798%
2.860%
2.929%
2.995%

DFs

[17]
1
0.992199
0.984582
0.977757
0.971397
0.965383
0.959112
0.952586
0.945458
0.938249
0.930114
0.921421
0.912764
Present Value =

Weighted
average
forward
rates
[18]
3.296%
3.091%
2.908%
2.653%
2.536%
2.532%
2.607%
2.766%
3.004%
3.285%
3.505%
3.672%

Average
rate
cashflows

[19]
2.8836
2.7649
2.6014
2.3729
2.1947
2.2646
2.3315
2.5277
2.5411
2.9381
3.2029
3.2489
30.3671

[20]

345.6554

683.0000

1006.0170

7.15: Turbo Swaps - pricing a 4 year qu/qu swap with CX adjustment

Today's date:

4-Feb-08

Power of Turbo (n) =

1.2

No Convexity adjustment

Convexity adjustment with reversion

Instantaneous Volatility =
Reversion factor =

Convexity adjustment with zero reversion

Turbo Swaps

1.00% pa.
2.00%

Example Matrix of results

For a 4 year q/q swap

Swap
Dates

6-Feb-08
6-May-08
6-Aug-08
6-Nov-08
6-Feb-09
6-May-09
6-Aug-09
6-Nov-09
8-Feb-10
6-May-10
6-Aug-10
8-Nov-10
7-Feb-11
6-May-11
8-Aug-11
7-Nov-11
6-Feb-12

period
count

time
count

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16

0
0.250
0.506
0.761
1.017
1.264
1.519
1.775
2.036
2.278
2.533
2.794
3.047
3.292
3.553
3.806
4.058

day
count
(d)

Libor
df's
int'polated
(zero
bonds)

0.250
0.256
0.256
0.256
0.247
0.256
0.256
0.261
0.242
0.256
0.261
0.253
0.244
0.261
0.253
0.253

1
0.992199
0.984582
0.977757
0.971397
0.965383
0.959112
0.952586
0.945458
0.938249
0.930114
0.921421
0.912764
0.904277
0.895080
0.886033
0.876830

Implied
fwd
rates

3.145
3.027
2.731
2.562
2.520
2.558
2.681
2.887
3.179
3.422
3.613
3.752
3.839
3.935
4.039
4.152
Q=

|
discount |
bond |
price |
|
|
|
|
0.99220 |
0.99232 |
0.99307 |
0.99350 |
0.99381 |
0.99350 |
0.99320 |
0.99252 |
0.99238 |
0.99133 |
0.99065 |
0.99060 |
0.99070 |
0.98983 |
0.98989 |
0.98961 |
|
3.80799 |
|

Turbo
implied
forward
rates

[2]
3.955%
3.778%
3.339%
3.093%
3.031%
3.087%
3.266%
3.569%
4.007%
4.377%
4.672%
4.888%
5.025%
5.175%
5.340%
5.520%

PV =

turbo |
cashflows |
|
4.1047 |
|
|
[3]
|
|
0.0099 |
0.0097 |
0.0085 |
0.0079 |
0.0075 |
0.0079 |
0.0083 |
0.0093 |
0.0097 |
0.0112 |
0.0122 |
0.0124 |
0.0123 |
0.0135 |
0.0135 |
0.0140 |
|
|
0.1563 |

convexity
adjustment
phi

[4]
0.000000
0.000002
0.000003
0.000005
0.000006
0.000008
0.000010
0.000012
0.000011
0.000014
0.000016
0.000017
0.000017
0.000021
0.000021
0.000022

[5]
0
0.33%
0.81%
1.38%
1.90%
2.28%
2.48%
2.49%
2.35%
2.26%
2.24%
2.29%
2.37%
2.43%
2.47%
2.50%

PV =

turbo |
cashflows |
|
4.1847 |
|
|
[6]
|
|
0.0099 |
0.0097 |
0.0086 |
0.0080 |
0.0076 |
0.0081 |
0.0086 |
0.0096 |
0.0099 |
0.0114 |
0.0125 |
0.0126 |
0.0126 |
0.0138 |
0.0138 |
0.0143 |
|
|
0.1594 |

phi

convexity
adjustment

turbo
cashflows
4.1891

[7]
0.000000
0.000002
0.000003
0.000005
0.000006
0.000008
0.000010
0.000012
0.000012
0.000015
0.000017
0.000018
0.000018
0.000022
0.000023
0.000024

[8]

[9]
0
0.33%
0.82%
1.41%
1.95%
2.35%
2.57%
2.59%
2.45%
2.37%
2.37%
2.43%
2.53%
2.60%
2.67%
2.70%

0.0099
0.0097
0.0086
0.0080
0.0076
0.0081
0.0086
0.0096
0.0099
0.0115
0.0125
0.0127
0.0126
0.0139
0.0139
0.0143

PV =

0.1595

turbo
power

non- quanto (no reversion)

quanto Instantaneous volatility --->
4.1047
3.235
4.105
5.215
6.633
8.446
10.766

1.0
1.2
1.4
1.6
1.8
2.0

1.0%
3.235
4.189
5.467
7.185
9.508
12.659

1.2%
3.235
4.226
5.578
7.429
9.975
13.491

1.4%
3.235
4.270
5.709
7.716
10.528
14.475

1.6%
3.235
4.321
5.860
8.048
11.165
15.611

1.8%
3.235
4.378
6.031
8.423
11.887
16.897

2.0%
3.235
4.442
6.222
8.844
12.695
18.335

showing fixed side for a fair value (in %)

20.000
18.000
16.000

Non-quanto

Column X

1% vol

2% vol

14.000
Fixed12.000
rate
(%)10.000
8.000
6.000
4.000
2.000
0.000
1.0

1.2

1.4

1.6

1.8

2.0
Turbo power

7.16: Pricing a Constant Maturity Swap with Convexity Adjustment

Today's date:
Maturity
Principal:
To pay:
To receive:

4-Feb-08
4
100
6
5

Swap
Dates

Day
count
(act/360)

year swap
million USD
mo Libor
year CMS less

94.69 bp margin
Volatility =

Curve
IBOR
df's

Q
Implied
FRA

-91.08
94.69
185.77

Un-adjusted margin
Adjusted margin
Difference

Libor
cashflows
discounted

CMS
yield

n=

20%
10

sum

-P'

P"

convexity
adjustment
(bp)

adjusted
rate

less
margin
on
CMS

CMS
Cashflow

94.69 bp
[1]
6-Feb-08
6-Aug-08
6-Feb-09
6-Aug-09
8-Feb-10
6-Aug-10
7-Feb-11
8-Aug-11
6-Feb-12
6-Aug-12
6-Feb-13
6-Aug-13
6-Feb-14
6-Aug-14
6-Feb-15
6-Aug-15
8-Feb-16
8-Aug-16
6-Feb-17
7-Aug-17
6-Feb-18

0.506
0.511
0.503
0.517
0.497
0.514
0.506
0.506
0.506
0.511
0.503
0.511
0.503
0.511
0.503
0.517
0.506
0.506
0.506
0.508

1
0.984582
0.971397
0.959112
0.945458
0.930114
0.912764
0.895080
0.876830
0.857939
0.838308
0.818623
0.798542
0.778986
0.759411
0.740476
0.721150
0.702199
0.683432
0.665077
0.647070

[2]
0
0.4978
0.9943
1.4765
1.9650
2.4274
2.8965
3.3490
3.7923
4.2260
4.6545
5.0661
5.4742
5.8659
6.2540
6.6263
6.9989
7.3539
7.6994
8.0357
8.3646

[3]
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|

3.097%
2.656%
2.548%
2.795%
3.318%
3.699%
3.908%
4.117%

PV =

[4]
-1,565,958.33
-1,357,307.58
-1,280,848.28
-1,444,238.71
-1,649,596.05
-1,900,873.41
-1,975,646.33
-2,081,365.26

[5]
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|

3.474%
3.633%
3.858%
4.104%
4.338%
4.516%
4.671%
4.816%

-12,316,970.53
Fair value =

[6]
0.9829
0.9822
0.9811
0.9799
0.9788
0.9779
0.9772
0.9765

[7]
47.9648
47.6701
47.2557
46.8100
46.3896
46.0717
45.7992
45.5444

[8]
4.5537
4.5347
4.5080
4.4791
4.4519
4.4312
4.4135
4.3969

[9]
23.9824
23.8351
23.6278
23.4050
23.1948
23.0358
22.8996
22.7722

[10]
0.0000
0.7014
1.5866
2.6741
3.9921
5.3726
6.8985
8.5360

[11]
3.474%
3.640%
3.874%
4.130%
4.378%
4.570%
4.740%
4.901%

[12]

[13]

1,756,245.75
1,860,361.12
1,947,889.27
2,134,041.30
2,176,652.55
2,348,534.85
2,396,200.22
2,477,977.38

-478,719.47
-483,980.12
-476,089.14
-489,240.78
-470,828.49
-486,610.45
-478,719.47
-478,719.47

15,907,958.19

-3,590,987.65
0.0000

7.17: Pricing a Constant Maturity Swap with CX Adjustment - using Hagan's model
Today's date:
Maturity
To pay:

4 year swap

To receive:

5 year CMS
0.5
2
20%

Delta
q
Swaption Volatility =

6
12
18
24
30
36
42
48
54
60
66
72
78
84
90
96
102
108
114
120

4-Feb-08
6 mo Libor

No CX

CX

Adjustment

Margin (bp)

-91.08

-94.62

-3.54

Swap
Dates

Day
count

Curve
IBOR

(act/360)

df's

0.506
0.511
0.503
0.517
0.497
0.514
0.506
0.506
0.506
0.511
0.503
0.511
0.503
0.511
0.503
0.517
0.506
0.506
0.506
0.508

1
0.984582
0.971397
0.959112
0.945458
0.930114
0.912764
0.895080
0.876830
0.857939
0.838308
0.818623
0.798542
0.778986
0.759411
0.740476
0.721150
0.702199
0.683432
0.665077
0.647070

6-Feb-08
6-Aug-08
6-Feb-09
6-Aug-09
8-Feb-10
6-Aug-10
7-Feb-11
8-Aug-11
6-Feb-12
6-Aug-12
6-Feb-13
6-Aug-13
6-Feb-14
6-Aug-14
6-Feb-15
6-Aug-15
8-Feb-16
8-Aug-16
6-Feb-17
7-Aug-17
6-Feb-18

CMS

CMS*Q

rate
0
0.4978
0.9943
1.4765
1.9650
2.4274
2.8965
3.3490
3.7923
4.2260
4.6545
5.0661
5.4742
5.8659
6.2540
6.6263
6.9989
7.3539
7.6994
8.0357
8.3646

|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|

|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|

3.474%
3.633%
3.858%
4.104%
4.338%
4.516%
4.671%
4.816%

0
0.0173
0.0353
0.0539
0.0740
0.0940
0.1152
0.1364
0.1577

n=

10

convexity

adjusted

1 - un

G'

adjustment
(bp)

rate

0.9829
0.9822
0.9811
0.9799
0.9788
0.9779
0.9772
0.9765

0.1582
0.1647
0.1739
0.1838
0.1931
0.2001
0.2061
0.2118

0.2177
0.2185
0.2197
0.2210
0.2222
0.2232
0.2240
0.2247

0.5198
0.5207
0.5219
0.5233
0.5245
0.5255
0.5263
0.5271

0.0000
0.6602
1.5063
2.5635
3.8618
5.2587
6.8221
8.5279

3.474%
3.639%
3.873%
4.129%
4.376%
4.569%
4.739%
4.901%

CMS*Q

0
0.0173
0.0354
0.0540
0.0742
0.0945
0.1159
0.1373
0.1591

7.18: Pricing a Constant Maturity Swap with Convexity Adjustment and Timing Adjustment
Today's date:
Maturity
Principal:
To pay:
To receive:

4-Feb-08
4
100
6
5

Swap
Dates

Day
count
(act/360)

year swap
million USD
mo Libor
year CMS less

Swaption Volatility =
Caplet volatility =
Correlation

94.21 bp margin

Curve
IBOR
df's

20%
25%
70%

Q
Implied
FRA

Libor
cashflows
discounted

CMS
yield

n=

10

sum

-P'

Un-adjusted margin
Adjusted margin
Difference

P"

CMS
convexity
adjustment
(bp)

Timing
convexity
adjustment
(bp)

adjusted
rate

-91.08
94.21
185.29
less
margin
on
CMS

CMS
Cashflow

94.21 bp
[1]
6-Feb-08
6-Aug-08
6-Feb-09
6-Aug-09
8-Feb-10
6-Aug-10
7-Feb-11
8-Aug-11
6-Feb-12
6-Aug-12
6-Feb-13
6-Aug-13
6-Feb-14
6-Aug-14
6-Feb-15
6-Aug-15
8-Feb-16
8-Aug-16
6-Feb-17
7-Aug-17
6-Feb-18

0.506
0.511
0.503
0.517
0.497
0.514
0.506
0.506
0.506
0.511
0.503
0.511
0.503
0.511
0.503
0.517
0.506
0.506
0.506
0.508

1
0.984582
0.971397
0.959112
0.945458
0.930114
0.912764
0.895080
0.876830
0.857939
0.838308
0.818623
0.798542
0.778986
0.759411
0.740476
0.721150
0.702199
0.683432
0.665077
0.647070

[2]
0
0.4978
0.9943
1.4765
1.9650
2.4274
2.8965
3.3490
3.7923
4.2260
4.6545
5.0661
5.4742
5.8659
6.2540
6.6263
6.9989
7.3539
7.6994
8.0357
8.3646

[3]
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|

3.097%
2.656%
2.548%
2.795%
3.318%
3.699%
3.908%
4.117%

PV =

[4]
-1,565,958.33
-1,357,307.58
-1,280,848.28
-1,444,238.71
-1,649,596.05
-1,900,873.41
-1,975,646.33
-2,081,365.26

[5]
|
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|

3.474%
3.633%
3.858%
4.104%
4.338%
4.516%
4.671%
4.816%

-12,316,970.53
Fair value =

[6]
0.9829
0.9822
0.9811
0.9799
0.9788
0.9779
0.9772
0.9765

[7]
47.9648
47.6701
47.2557
46.8100
46.3896
46.0717
45.7992
45.5444

[8]
4.5537
4.5347
4.5080
4.4791
4.4519
4.4312
4.4135
4.3969

[9]
23.9824
23.8351
23.6278
23.4050
23.1948
23.0358
22.8996
22.7722

[10]
0.0000
0.7014
1.5866
2.6741
3.9921
5.3726
6.8985
8.5360

[11]
0.0000
-0.0861
-0.1736
-0.3107
-0.5017
-0.7470
-0.9651
-1.2211

3.474%
3.639%
3.873%
4.127%
4.373%
4.563%
4.730%
4.889%

[12]

[13]

1,756,245.75
1,859,921.15
1,947,016.30
2,132,436.04
2,174,158.24
2,344,696.04
2,391,321.11
2,471,804.25

-476,268.37
-481,502.09
-473,651.51
-486,735.81
-468,417.79
-484,118.95
-476,268.37
-476,268.37

15,889,571.91

-3,572,601.37
0.0000

7.19: Measuring the convexity effect of a Constant Maturity Swap under parallel shifts

This worksheet parallel shifts the 1-period discount bond prices in column [1]
The discount curve and Q curve are then recalculated:
a/. Using the new bond prices
b/. Using "antithetic" bond prices, defined as (2*pold - pnew). This moves the discount curve in the opposite direction
It then calculates the new value of the CMS by:
a/. Simulating the CMS estimated yield only
b/. Simulating also the Libor fixings and discounting
In each case, the new value of the CMS swap is calculated using the new bond curve and the antithetic curve.
The difference in the change in value is proportional to the convexity effect, which is then scaled to the shift per bp
Finally the ratio of the two convexity effects is calculated

Today's date
Maturity
Principal:
To pay:
To receive:

4-Feb-08
4
100
6
5

Swap
Dates

Time
count
(Act/360)

year swap
million USD
mo Libor
year CMS less

91.08 bp margin

Simulating only the CMS rate

Simulating all rates

Simulated values

Day
count
(act/360)

Curve
IBOR
df's

Curve
discount
bond
prices
Vol =>

Random
discount
bond
prices
1%

0.984582
0.986609
0.987353
0.985763
0.983772
0.981346
0.980626
0.979611
0.978455
0.977118
0.976518
0.975470
0.975510
0.974871
0.975067
0.973900
0.973720
0.973274
0.973143
0.972925

0.984582
0.996475
0.997227
0.995621
0.993609
0.991159
0.990433
0.989407
0.988240
0.986889
0.986283
0.985225
0.985265
0.984620
0.984818
0.983639
0.983458
0.983007
0.982875
0.982654

Simulated df's

Antithetic df's
Q

IBOR
df's

Q
IBOR
df's

Implied
FRA

Libor
cashflows

3.097%
2.656%
2.548%
2.795%
3.318%
3.699%
3.908%
4.117%

-1,565,958
-1,357,308
-1,280,848
-1,444,239
-1,649,596
-1,900,873
-1,975,646
-2,081,365

Simulated
CMS
yield

CMS
Cashflow

less
margin
on
CMS

1.710%
1.666%
1.890%
2.130%
2.356%
2.533%
2.685%
2.827%

864,556
851,735
950,109
1,100,666
1,171,538
1,301,731
1,357,321
1,429,399

-460,467
-465,527
-457,937
-470,587
-452,877
-468,057
-460,467
-460,467

Antithetic
CMS
yield

CMS
Cashflow

Implied
FRA

Libor
cashflows

5.254%
5.639%
5.867%
6.116%
6.359%
6.539%
6.697%
6.845%

2,656,389
2,881,912
2,949,622
3,160,116
3,162,018
3,360,480
3,385,699
3,460,592

3.097%
0.692%
0.553%
0.851%
1.294%
1.736%
1.911%
2.118%

-1,565,958
-353,770
-278,068
-439,840
-643,164
-891,954
-965,986
-1,070,659

Antithetic values

CMS
yield

CMS
Cashflow

less
margin
on
CMS

1.710%
1.666%
1.890%
2.130%
2.356%
2.533%
2.685%
2.827%

864,556
851,735
950,109
1,100,666
1,171,538
1,301,731
1,357,321
1,429,399

-460,467
-465,527
-457,937
-470,587
-452,877
-468,057
-460,467
-460,467

91.08 bp

Implied
FRA

Libor
cashflows

3.097%
4.659%
4.582%
4.779%
5.383%
5.702%
5.945%
6.157%

-1,565,958
-2,381,119
-2,303,887
-2,468,928
-2,676,360
-2,930,175
-3,005,703
-3,112,490

CMS
yield

CMS
Cashflow

less
margin
on
CMS

5.254%
5.639%
5.867%
6.116%
6.359%
6.539%
6.697%
6.845%

2,656,389
2,881,912
2,949,622
3,160,116
3,162,018
3,360,480
3,385,699
3,460,592

-460,467
-465,527
-457,937
-470,587
-452,877
-468,057
-460,467
-460,467

91.08 bp

Parallel
shift
in bond
prices

Convexity effect
CMS only

All rates

139,371
0
139,371
557,628
1,255,209
2,232,841
3,491,551
5,032,662

8,451
0
8,451
33,788
75,968
134,915
210,529
302,679

Convexity effect

Ratio of
effect

CMS only
per bp

All rates
per bp

1,394
2,788
4,184
5,582
6,983
8,388

85
169
253
337
421
504

91.08

[1]
6-Feb-08
6-Aug-08
6-Feb-09
6-Aug-09
8-Feb-10
6-Aug-10
7-Feb-11
8-Aug-11
6-Feb-12
6-Aug-12
6-Feb-13
6-Aug-13
6-Feb-14
6-Aug-14
6-Feb-15
6-Aug-15
8-Feb-16
8-Aug-16
6-Feb-17
7-Aug-17
6-Feb-18

0.506
1.017
1.519
2.036
2.533
3.047
3.553
4.058
4.564
5.075
5.578
6.089
6.592
7.103
7.606
8.122
8.628
9.133
9.639
10.147

0.506
0.511
0.503
0.517
0.497
0.514
0.506
0.506
0.506
0.511
0.503
0.511
0.503
0.511
0.503
0.517
0.506
0.506
0.506
0.508

1
0.984582
0.971397
0.959112
0.945458
0.930114
0.912764
0.895080
0.876830
0.857939
0.838308
0.818623
0.798542
0.778986
0.759411
0.740476
0.721150
0.702199
0.683432
0.665077
0.647070

1
0.984582
0.981111
0.978390
0.974106
0.967881
0.959324
0.950146
0.940081
0.929025
0.916845
0.904269
0.890908
0.877781
0.864280
0.851158
0.837233
0.823383
0.809391
0.795530
0.781731

0
0.4978
0.9992
1.4911
1.9944
2.4757
2.9687
3.4490
3.9243
4.3939
4.8626
5.3172
5.7726
6.2139
6.6556
7.0836
7.5161
7.9324
8.3416
8.7438
9.1412

1
0.984582
0.961683
0.940026
0.917377
0.893464
0.868029
0.842700
0.817263
0.791659
0.765809
0.740348
0.714965
0.690481
0.666399
0.643286
0.620231
0.597892
0.576094
0.555016
0.534589

0
0.4978
0.9893
1.4619
1.9359
2.3801
2.8262
3.2522
3.6654
4.0656
4.4571
4.8293
5.1947
5.5419
5.8825
6.2059
6.5264
6.8286
7.1199
7.4005
7.6722

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|

PV =
Note: this simulation has assumed that the discount bond prices are log-normally distributed, ie. as in HJM modelling. . This prevents
them from becoming negative but there is nothing stopping them from going above 1, hence suggesting negative forward rates. It is
probably better to simulate either forward rates or (1 - bond price) on the grounds that the 1-period bond prices are highly
unlikely to go negative during the simulation because they are all close to one, but they may well go above 1 during the simulation.
In this situation however, such an issue is not likely to cause problems.

|
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|
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|

|
|
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|
|

0%
1.00%
2.00%
3.00%
4.00%
5.00%
6.00%

16.49
16.50
16.52
16.55
16.58
16.63
Average =

-12,316,971

8,376,583
Fair value =
Convexity effect

-3,454,074

23,304,876

-7,394,461

7,533,832
139,371

-5,991,924

8,704,710
Fair value =
Convexity effect

-3,574,282
-861,496

-18,273,687

22,482,146

-3,338,512
869,947
8,451

16.55

7.20: Measuring the scale of the convexity effect of a Constant Maturity Swap by simulation

This worksheet randomly generates the 1-period discount bond prices in column [1], assuming zero correlation
The discount curve and Q curve are then recalculated:
a/. Using the new bond prices
b/. Using "antith etic" bo nd prices, d efin ed as (2*pold - p new ). This moves the dis cou nt curve in the opp osite direction
It then calculates the new value of the CMS by :
a/. Simulating the CMS estimated y ield only
b/. Simulating also the Libor fixings and discounting
In each case, the new value of the CMS swap is calculated using the new bond curve and the antithetic curve.
The difference in the change in value is proportional to the convexity effect
The average fair adjustment (in bp's) is then calculated over 500 simulations

Today's date
Maturity
Principal:
To pay:
To receive:

4-Feb-08
4 year swap
100 million USD
6 mo Libor
5 year CMS less

Simulating a CMS
91.08 bp margin

Simulating only the CMS rate

Simulating all rates

Simulation results showing net present value

Simulated values

Swap
Dates

Time
count
(Act/360)

Day
count
(act/360)

Curve
IBOR
df's

0.506
1.017
1.519
2.036
2.533
3.047
3.553
4.058
4.564
5.075
5.578
6.089
6.592
7.103
7.606
8.122
8.628
9.133
9.639
10.147

0.506
0.511
0.503
0.517
0.497
0.514
0.506
0.506
0.506
0.511
0.503
0.511
0.503
0.511
0.503
0.517
0.506
0.506
0.506
0.508

1
0.984582
0.971397
0.959112
0.945458
0.930114
0.912764
0.895080
0.876830
0.857939
0.838308
0.818623
0.798542
0.778986
0.759411
0.740476
0.721150
0.702199
0.683432
0.665077
0.647070

Curve
discount
bond
prices
Vol =>

Random
discount
bond
prices
1%

0.984582
0.986609
0.987353
0.985763
0.983772
0.981346
0.980626
0.979611
0.978455
0.977118
0.976518
0.975470
0.975510
0.974871
0.975067
0.973900
0.973720
0.973274
0.973143
0.972925

0.984582
0.985160
0.978691
0.988105
0.970951
0.975604
0.965708
0.989593
0.967271
0.959872
0.963065
0.977759
0.979951
0.966181
0.988505
0.987283
0.980727
0.989861
1.002366
0.981532

Simulated df's

Antithetic df's
Q

IBOR
df's

Q
IBOR
df's

Implied
FRA

Libor
cashflows

Simulated
CMS
yield

CMS
Cashflow

less
margin
on
CMS

4.655%
5.086%
5.276%
5.278%
5.767%
5.435%
5.232%
4.906%

2,353,164
2,599,390
2,652,476
2,726,960
2,867,388
2,792,800
2,645,266
2,480,028

-460,467
-465,527
-457,937
-470,587
-452,877
-468,057
-460,467
-460,467

Antithetic
CMS
yield

CMS
Cashflow

Implied
FRA

Libor
cashflows

2.299%
2.188%
2.471%
2.965%
2.961%
3.647%
4.157%
4.753%

1,162,369
1,118,360
1,242,443
1,531,861
1,472,124
1,874,286
2,101,753
2,402,722

3.097%
2.947%
4.330%
2.330%
6.017%
4.866%
7.024%
2.080%

|
-1,565,958 |
-1,506,382 |
-2,177,246 |
-1,203,809 |
-2,991,803 |
-2,500,561 |
-3,550,981 |
-1,051,642 |

Histogram
count =
min =
max =
buckets =

Antithetic values

CMS
yield

CMS
Cashflow

less
margin
on
CMS

4.655%
5.086%
5.276%
5.278%
5.767%
5.435%
5.232%
4.906%

2,353,164
2,599,390
2,652,476
2,726,960
2,867,388
2,792,800
2,645,266
2,480,028

-460,467
-465,527
-457,937
-470,587
-452,877
-468,057
-460,467
-460,467

91.08 bp

Implied
FRA

Libor
cashflows

3.097%
2.365%
0.796%
3.263%
0.688%
2.546%
0.885%
6.196%

|
-1,565,958 |
-1,208,670 |
-400,042 |
-1,685,813 |
-341,923 |
-1,308,162 |
-447,525 |
-3,132,291 |

CMS
yield

CMS
Cashflow

less
margin
on
CMS

2.299%
2.188%
2.471%
2.965%
2.961%
3.647%
4.157%
4.753%

1,162,369
1,118,360
1,242,443
1,531,861
1,472,124
1,874,286
2,101,753
2,402,722

-460,467
-465,527
-457,937
-470,587
-452,877
-468,057
-460,467
-460,467

91.08 bp

91.08

Average
St Dev
Adjustment

Simulating CMS

Simulating all rates

119,351
0
-3.15

59,977
0
-1.58

119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351

59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977

500
59,977.48
119,351.17
20
2,968.68

120.0%

CMS only

all rates

Labels

0.0%
0.0%
0.0%
0.0%
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0.0%
100.0%

100.0%
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0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1
0.1

Simulating o nly CMS

100.0%

[1]
6-Feb-08
6-Aug-08
6-Feb-09
6-Aug-09
8-Feb-10
6-Aug-10
7-Feb-11
8-Aug-11
6-Feb-12
6-Aug-12
6-Feb-13
6-Aug-13
6-Feb-14
6-Aug-14
6-Feb-15
6-Aug-15
8-Feb-16
8-Aug-16
6-Feb-17
7-Aug-17
6-Feb-18

Simulating all
1
0.984582
0.969970
0.949302
0.938010
0.910762
0.888543
0.858073
0.849143
0.821351
0.788392
0.759273
0.742386
0.727502
0.702899
0.694819
0.685983
0.672762
0.665940
0.667516
0.655188

0
0.4978
0.9935
1.4708
1.9554
2.4083
2.8649
3.2987
3.7280
4.1432
4.5462
4.9279
5.3074
5.6732
6.0324
6.3818
6.7362
7.0763
7.4130
7.7504
8.0835

3.792291
Note: this simulation has assumed that the discount bond prices are log-normally distributed, ie. as in HJM modelling. . This prevents
them from becoming negative but there is nothing stopping them from going above 1, hence suggesting negative forward rates. It is
probably better to simulate either forward rates or (1 - bond price) on the grounds that the 1-period bond prices are highly
unlikely to go negative during the simulation because they are all close to one, but they may well go above 1 during the simulation.
In this situation however, such an issue is not likely to cause problems.

1
0.984582
0.972824
0.968947
0.952884
0.949637
0.937374
0.933198
0.904855
0.895481
0.890434
0.881504
0.857863
0.833044
0.819349
0.787910
0.756801
0.731611
0.699923
0.660672
0.637098

0
0.4978
0.9950
1.4821
1.9745
2.4467
2.9284
3.4001
3.8576
4.3103
4.7654
5.2086
5.6471
6.0659
6.4847
6.8808
7.2719
7.6417
7.9956
8.3296
8.6534

|
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|
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|
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|
|
|
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|
|
|
|

3.097%
2.656%
2.548%
2.795%
3.318%
3.699%
3.908%
4.117%

PV =

|
-1,565,958 |
-1,357,308 |
-1,280,848 |
-1,444,239 |
-1,649,596 |
-1,900,873 |
-1,975,646 |
-2,081,365 |
|
|
|
|
|
|
|
|
|
|
|
|
|
-12,316,971

19,722,626
Fair value =
Convexity effect

-3,454,074

11,938,813

3,951,582

-3,832,231
119,351

-15,085,681

19,382,892
Fair value =
Convexity effect

-3,395,521
901,690

-9,514,479

12,186,319

-3,513,553
-841,712
59,977

1
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1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99
1.99

59,977.48
62,946.16
65,914.85
68,883.53
71,852.21
74,820.90
77,789.58
80,758.27
83,726.95
86,695.64
89,664.32
92,633.01
95,601.69
98,570.38
101,539.06
104,507.74
107,476.43
110,445.11
113,413.80
116,382.48
119,351.17

80.0%

60.0%

40.0%

20.0%

0.0%
0.1

0.1

0.1

0.1

0.1

0.1

0.1

0.1

0.1

0.1

0.1

0.1

0.1

0.1

0.1

0.1

0.1

0.1

0.1

0.1

0.1

254
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480
481
482
483
484
485
486
487
488
489
490
491
492
493
494
495
496
497
498
499
500

119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351
119,351

59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
59,977
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