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{"sheet":"Interest Rate Measures","index":1,"n_rows":106,"n_cols":51,"rows_kept":106,"cut":false,"hidden":false,"merged":[[15,4,15,6],[9,2,9,3],[10,2,10,3],[11,2,11,3],[5,5,5,6],[7,5,7,6],[15,1,15,2],[12,2,12,3],[13,2,13,3]]}
["Effective Duration / Convexity (Full Valuation Approach)"]
[]
[]
["Specify type of rates:",null,1,null,null,"Results"]
["Choose duration type:",null,1,null,null,null,null,null,"Up","Down","Total",{"$f":"IF(C5=1,\"Modified Duration\",\"\")","v":"Modified Duration"},null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"CALCULATIONS (TO BE HIDDEN AN PROTECTED EVENTUALLY)"]
["Choose yield shift amount:",null,3,null,null,{"$f":"INDEX(AF8:AF9,C5)","v":"Effective Duration (ED)"},null,"Option-Free",{"$f":"(L94-L42)/(L42*Shift/10000)","v":9.5247458558591749},{"$f":"(L42-L68)/(L42*Shift/10000)","v":9.0455701529118144},{"$f":"(L94-L68)/(2*L42*Shift/10000)","v":9.2851580043854938},{"$f":"IF(C5=1,MDURATION(currDate,matDate,coupon/100,YIELD(currDate,matDate,coupon,L42,100,1,1)/100,1,1),\"\")","v":9.8436525350713584}]
["Choose key rate:",null,5,null,null,null,null,"Callable",{"$f":"(W94-W42)/(W42*Shift/10000)","v":9.4749109844655717},{"$f":"(W42-W68)/(W42*Shift/10000)","v":9.0004941713261903},{"$f":"(W94-W68)/(2*W42*Shift/10000)","v":9.237702577895881},null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Yield Shift","KR Point",null,"Lower Bound","Upper Bound",null,"Lower Bound","Upper Bound",null,null,"Up Rates","Down Rates",null,null,"Up Shift","Down Shift","KRD Up","KRD Down"]
["Lower Boundary:",null,4,null,null,{"$f":"IF(C5=1,\"Effective Convexity\",\"\")","v":"Effective Convexity"},null,{"$f":"IF(C5=1,\"Option-Free\",\"\")","v":"Option-Free"},null,null,{"$f":"IF(C5=1,(L94+L68-2*L42)/(2*L42*(Shift/10000)^2),\"\")","v":47.917570294733594},null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Spot Rates",null,"Effective Duration (ED)",null,"20 bp","1 year",12,{"$f":"IF(KR=1,\"\",INDEX(AI8:AI17,1):INDEX(AI8:AI17,MAX(C7-1,1)))","v":"1 year"},{"$f":"IF(KR=10,\"\",INDEX(AI8:AI17,MIN(C7+1,10)):INDEX(AI8:AI17,10))","v":"6 years"},null,{"$f":"IF(ISNA(AK8),\"\",AK8)","v":"1 year"},{"$f":"IF(ISNA(AL8),\"\",AL8)","v":"6 years"},{"$f":"VALUE(LEFT(AH8,3))","v":20},null,{"$f":"rates+INDEX($AP$8:$AP$13,$C$6)/10000","v":5.5E-2},{"$f":"rates-INDEX($AP$8:$AP$13,$C$6)/10000","v":4.5000000000000005E-2},null,1,{"$f":"IF(OR(AU8<=LB,AU8>=UB),0,IF(AU8=KR,Shift/10000,IF(AU8<KR,(1-(KR-AU8)/(KR-LB))*Shift/10000,(1-(ABS(KR-AU8))/(UB-KR))*Shift/10000)))","v":0},{"$f":"-IF(OR(AU8<=LB,AU8>=UB),0,IF(AU8=KR,Shift/10000,IF(AU8<KR,(1-(KR-AU8)/(KR-LB))*Shift/10000,(1-(ABS(KR-AU8))/(UB-KR))*Shift/10000)))","v":0},{"$f":"rates+AV8:AV17","v":0.05},{"$f":"rates+AW8:AW17","v":0.05}]
["Upper Boundary:",null,1,null,null,null,null,{"$f":"IF(C5=1,\"Callable\",\"\")","v":"Callable"},null,null,{"$f":"IF(C5=1,(W94+W68-2*W42)/(2*W42*(Shift/10000)^2),\"\")","v":47.44168131393554},null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Par Yields",null,"Key Rate Duration (KRD)",null,"30 bp","2 years",10,"2 years","7 years",null,{"$f":"IF(ISNA(AK9),\"\",AK9)","v":"2 years"},"7 years",{"$f":"VALUE(LEFT(AH9,3))","v":30},null,5.6025525215565135E-2,4.602552521556514E-2,null,{"$f":"AU8+1","v":2},0,0,5.1025525215565137E-2,5.1025525215565137E-2]
["Bond Coupon",null,0.25,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"50 bp","3 years",null,"3 years","8 years",null,"3 years","8 years",50,null,5.7070377002907395E-2,4.70703770029074E-2,null,{"$f":"AU9+1","v":3},0,0,5.2070377002907398E-2,5.2070377002907398E-2]
["Bond Maturity (in whole years)",null,10,null,{"$f":"IF(C5=2,showMaturityError(mat,UB),\"\")","v":""},null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"75 bp","4 years",null,"4 years","9 years",null,"4 years","9 years",75,null,5.8136515264718296E-2,4.8136515264718301E-2,null,4,0,0,5.3136515264718298E-2,5.3136515264718298E-2]
["Call Price",null,105,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"100 bp","5 years",null,{"$error":"#N/A"},"10 years",null,"","10 years",100,null,5.9226116343574213E-2,4.9226116343574218E-2,null,5,5.0000000000000001E-3,-5.0000000000000001E-3,5.9226116343574213E-2,4.9226116343574218E-2]
["Option-Adjusted Spread (in bp)",null,50,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"150 bp","6 years",null,{"$error":"#N/A"},{"$error":"#N/A"},null,"","",150,null,6.0341608005321505E-2,5.034160800532151E-2,null,6,0,0,5.5341608005321508E-2,5.5341608005321508E-2]
["Callability Start (years from now)",null,2,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"7 years",null,{"$error":"#N/A"},{"$error":"#N/A"},null,"","",null,null,6.1485711341679454E-2,5.1485711341679459E-2,null,7,0,0,5.6485711341679457E-2,5.6485711341679457E-2]
[null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"8 years",null,{"$error":"#N/A"},{"$error":"#N/A"},null,"","",null,null,6.2661491312422934E-2,5.2661491312422933E-2,null,8,0,0,5.766149131242293E-2,5.766149131242293E-2]
[null,"ENTER RATES",null,null,"SPOT RATE TERM STRUCTURE",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"9 years",null,{"$error":"#N/A"},{"$error":"#N/A"},null,"","",null,null,6.3872418161726618E-2,5.3872418161726617E-2,null,9,0,0,5.8872418161726614E-2,5.8872418161726614E-2]
["Maturity",{"$f":"INDEX(AD8:AD9,$C$4)","v":"Spot Rates"},"Volatilities",null,"Original","Shifted Up","Shifted Down",null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"10 years",null,{"$error":"#N/A"},{"$error":"#N/A"},null,"","",null,null,6.5122442640573319E-2,5.5122442640573317E-2,null,10,0,0,6.0122442640573315E-2,6.0122442640573315E-2]
[1,0.05,{"$f":"C19+0.01","v":0.20000000000000004},{"$f":"A18","v":1},{"$f":"IF(C4=1,rates,par2spot(1,rates))","v":0.05},{"$f":"IF(C4=2,IF(C5=1,par2spot(1,Up),par2spot(1,KRDUp)),IF(C5=1,Up,KRDUp))","v":5.5E-2},{"$f":"IF(C4=2,IF(C5=1,par2spot(1,Down),par2spot(1,KRDDown)),IF(C5=1,Down,KRDDown))","v":4.5000000000000005E-2}]
[2,5.1025525215565137E-2,0.19000000000000003,{"$f":"A19","v":2},5.1025525215565137E-2,5.6025525215565135E-2,4.602552521556514E-2,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"Yield Shift","KR Point",null,"Lower Bound","Upper Bound",null,"Settlement Date","Maturity Date"]
[3,5.2070377002907398E-2,{"$f":"C21+0.01","v":0.18000000000000002},3,5.2070377002907398E-2,5.7070377002907395E-2,4.70703770029074E-2,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,null,"User Choices",null,{"$f":"INDEX(AD8:AD9,$C$4)","v":"Spot Rates"},null,{"$f":"INDEX(AF8:AF9,$C$5)","v":"Effective Duration (ED)"},null,{"$f":"VALUE(LEFT(INDEX(AH8:AH13,$C$6),3))","v":50},{"$f":"VALUE(LEFT(INDEX(AI8:AI17,$C$7),2))","v":5},null,{"$f":"IF(KR=1,0,VALUE(LEFT(INDEX(AK8:AK17,$C$8),2)))","v":4},{"$f":"IF(KR=10,11,VALUE(LEFT(INDEX(AL8:AL13,$C$9),2)))","v":6},null,"1990-01-01",{"$f":"EDATE(AN20,mat*12)","v":"2000-01-01"}]
[4,5.3136515264718298E-2,0.17,4,5.3136515264718298E-2,5.8136515264718296E-2,4.8136515264718301E-2]
[5,5.4226116343574216E-2,0.155,5,5.4226116343574216E-2,5.9226116343574213E-2,4.9226116343574218E-2]
[6,5.5341608005321508E-2,0.15,6,5.5341608005321508E-2,6.0341608005321505E-2,5.034160800532151E-2]
[7,5.6485711341679457E-2,0.14000000000000001,7,5.6485711341679457E-2,6.1485711341679454E-2,5.1485711341679459E-2]
[8,5.766149131242293E-2,0.13,8,5.766149131242293E-2,6.2661491312422934E-2,5.2661491312422933E-2]
[9,5.8872418161726614E-2,0.12,9,5.8872418161726614E-2,6.3872418161726618E-2,5.3872418161726617E-2]
[10,6.0122442640573315E-2,null,10,6.0122442640573315E-2,6.5122442640573319E-2,5.5122442640573317E-2]
[]
[]
["Original Rate Tree",null,null,null,null,null,null,null,null,null,null,"Option-Free Bond",null,null,null,null,null,null,null,null,null,null,"Callable Bond"]
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["Up Rate Tree"]
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[]
[null,"Time in Years",1,2,3,4,5,6,7,8,9,null,{"$f":"L80+1","v":1},{"$f":"M80+1","v":2},3,4,5,6,7,8,9,10,0,{"$f":"W80+1","v":1},{"$f":"X80+1","v":2},3,4,5,6,7,8,9,10]
[]
["Down Rate Tree"]
[]
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