Year Bid, % Ask, % IRS Z(0,year) LIBOR FRW

0.5 1.615% 0.9919897 1.615% 1.615% 6%

1 1.69 1.71 1.700% 0.9832108 1.700% 1.786%
1.5 1.785% 0.9736812 1.786% 1.957%
2 1.86 1.88 1.870% 0.96342 1.872% 2.130% 5%
2.5 2.045% 0.9502801 2.050% 2.765% f(x) = - 0.0002104217x^
R² = 0.9940709984
3 2.21 2.23 2.220% 0.9356397 2.230% 3.129%
3.5 2.370% 0.9203845 2.384% 3.315% 4%
4 2.51 2.53 2.520% 0.9039557 2.540% 3.635%
4.5 2.640% 0.887665 2.666% 3.670%
5 2.75 2.77 2.760% 0.8705453 2.792% 3.933% 3%
5.5 2.865% 0.8533955 2.903% 4.019%
6 2.96 2.98 2.970% 0.8356137 3.016% 4.256%
6.5 3.050% 0.8187006 3.101% 4.132% 2%
7 3.12 3.14 3.130% 0.8014033 3.188% 4.317%
7.5 3.195% 0.7847428 3.258% 4.246%
8 3.25 3.27 3.260% 0.7678476 3.329% 4.401% 1%
8.5 3.320% 0.7511065 3.396% 4.458%
9 3.37 3.39 3.380% 0.7342005 3.463% 4.605%
9.5 3.435% 0.7175514 3.524% 4.641% 0%
0 1 2
10 3.48 3.5 3.490% 0.7008 3.587% 4.781%
10.5 3.540% 0.6843996 3.644% 4.793%
11 3.58 3.6 3.590% 0.6679522 3.702% 4.925%
11.5 3.635% 0.651941 3.755% 4.912%
12 3.67 3.69 3.680% 0.635931 3.808% 5.035%
 f(x) = - 0.0002104217x^2 + 0.0052839914x + 0.01615
R² = 0.9940709984

0 1 2 3 4 5 6 7 8 9 10 11 12
IRS LIBOR FRW Polynomial (FRW)
 Bootstrapping the zero (and the frw) curve---This
worksheets computes the IRS rates as the midquote
of bid and ask IRS rates, linearly interpolates the
semi-annual rates from annual IRS rates, and
bootstraps the LIBOR and FRW curves.

11 12
Notional: € 1,000,000
Maturity: 5
rIRS 2.76%
Time Fixed rate Fixed leg Z(0,year) D Fixed leg Floating rate Floating leg D Floating leg
0.5 2.76% € 13,800 0.9920 € 13,689 1.62% € 8,075 € 8,010
1 2.76% € 13,800 0.9832 € 13,568 1.79% € 8,929 € 8,779
1.5 2.76% € 13,800 0.9737 € 13,437 1.96% € 9,787 € 9,530
2 2.76% € 13,800 0.9634 € 13,295 2.13% € 10,651 € 10,261
2.5 2.76% € 13,800 0.9503 € 13,114 2.77% € 13,827 € 13,140
3 2.76% € 13,800 0.9356 € 12,912 3.13% € 15,647 € 14,640
3.5 2.76% € 13,800 0.9204 € 12,701 3.31% € 16,575 € 15,255
4 2.76% € 13,800 0.9040 € 12,475 3.63% € 18,174 € 16,429
4.5 2.76% € 13,800 0.8877 € 12,250 3.67% € 18,352 € 16,291
5 2.76% € 13,800 0.8705 € 12,014 3.93% € 19,665 € 17,120
€ 129,455 € 129,455

V swap: € 0.00

€ 20,000

€ 15,000

€ 10,000

€ 5,000

€0
0.5 1 1.5 2 2.5 3 3.5 4 4.5 5
-€ 5,000

-€ 10,000
Fixed leg Floating leg Net payments
 IRS pricing (portfolio of bonds)---The worksheet
computes the value of a 5-year payer IRS (based on
previous par and zero rates) as a portfolio of a short
Net payments
coupon bond and a long floater.
-€ 5,725
-€ 4,871
-€ 4,013
-€ 3,149
€ 27
€ 1,847
€ 2,775
€ 4,374
€ 4,552
€ 5,865
Notional: € 1,000,000
IRS pricing (po
Maturity: 5
computes the
rIRS 2.760%
previous par a
Time Fixed rate Floating rate Z(0,year) V FRAs Z weights (Zw) Frw x Zw
FRAs.
0.5 2.76% 1.62% 0.9920 -€ 5,679 0.1057471251 0.001707816
1 2.76% 1.79% 0.9832 -€ 4,789 0.1048112866 0.001871677
1.5 2.76% 1.96% 0.9737 -€ 3,907 0.1037954252 0.002031723
2 2.76% 2.13% 0.9634 -€ 3,034 0.1027015651 0.00218772
2.5 2.76% 2.77% 0.9503 € 26 0.1013008406 0.002801449
3 2.76% 3.13% 0.9356 € 1,729 0.099740163 0.003121355
3.5 2.76% 3.31% 0.9204 € 2,554 0.0981139405 0.003252445
4 2.76% 3.63% 0.9040 € 3,954 0.0963626139 0.003502653
4.5 2.76% 3.67% 0.8877 € 4,041 0.0946260068 0.003473214
5 2.76% 3.93% 0.8705 € 5,106 0.0928010331 0.003649947
9.3808 €0 1.0000 2.76% <-- IRS rate

V swap: € 0.00

€ 6,000

€ 4,000

€ 2,000

€0
0.5 1 1.5 2 2.5 3 3.5 4 4.5 5
-€ 2,000

-€ 4,000

-€ 6,000

-€ 8,000
V FRAs
 IRS pricing (portfolio of FRAs)---The worksheet
computes the value of a 5-year payer IRS (based on
previous par and zero rates) as a portfolio of payer
FRAs.

<-- IRS rate

 Notional: € 1,000,000 YTM: 2.76%
Maturity: 5 Duration: 4.70
IRS sensitivity---The workshe
in the value of a 5-year payer
rIRS 2.76% MDuration: 4.64
par and zero rates) to a chang
Time LIBOR Coupon bond DCF DCF@YTM t x DCF / B
duration approximation.
0.5 1.62% 1.38 1.3689 1.3612 0.0136
1 1.70% 1.38 1.3568 1.3427 0.0269
1.5 1.79% 1.38 1.3437 1.3244 0.0397
2 1.87% 1.38 1.3295 1.3064 0.0523
2.5 2.05% 1.38 1.3114 1.2886 0.0644
3 2.23% 1.38 1.2912 1.2711 0.0763
3.5 2.38% 1.38 1.2701 1.2538 0.0878
4 2.54% 1.38 1.2475 1.2367 0.0989
4.5 2.67% 1.38 1.2250 1.2199 0.1098
5 2.79% 101.38 88.2559 88.3954 8.8395
100.00 100.00

Delta YTM: 0.25%

Fixed leg: 98.84
Floating leg: 99.88
V swap: 1.04
V swap: € 10,361.37
nsitivity---The worksheet computes the change
value of a 5-year payer IRS (based on previous
d zero rates) to a change in the YTM using the
on approximation.
 Year IRS € Z(0, year) € LIBOR € IRS $ Z(0, year) $ LIBOR $
0.5 1.62% 0.9920 1.615% 1.79% 0.9911 1.790%
1 1.70% 0.9832 1.700% 1.97% 0.9806 1.971%
1.5 1.79% 0.9737 1.786% 2.17% 0.9681 2.173%
2 1.87% 0.9634 1.872% 2.34% 0.9544 2.345%
2.5 2.05% 0.9503 2.050% 2.59% 0.9374 2.601%
3 2.22% 0.9356 2.230% 2.96% 0.9149 2.985%
3.5 2.37% 0.9204 2.384% 3.22% 0.8931 3.256%
4 2.52% 0.9040 2.540% 3.57% 0.8660 3.629%
4.5 2.64% 0.8877 2.666% 3.75% 0.8435 3.819%
5 2.76% 0.8705 2.792% 3.88% 0.8221 3.957%

EURUSD: 1.3025
r€(0,5): 2.76%
r$(0,5): 3.88%
Principal €: € 1,000,000
Principal $: $1,302,500
V Swap: € 0.0

4.5%
4.0%
3.5%
3.0%
2.5%
2.0%
1.5%
1.0%
0.5%
0.0%
0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5
LIBOR € LIBOR $
 Fixed leg € D Fixed leg € Fixed leg $ D Fixed leg $
€ 13,800.0 € 13,689.5 -$25,268.5 -$25,044.4
CCS pricing (portfolio of bonds)---The wor
€ 13,800.0 € 13,568.3 -$25,268.5 -$24,777.8
computes the value of a 5-year fixed-for-fix
€ 13,800.0 € 13,436.8 -$25,268.5 -$24,462.5
(based on previous par and zero rates in €,
zero, and frw curve in $) as a portfolio of a
€ 13,800.0 € 13,295.2 -$25,268.5 -$24,117.2
coupon bond in € and a short coupon bond
€ 13,800.0 € 13,113.9 -$25,268.5 -$23,687.4
€ 13,800.0 € 12,911.8 -$25,268.5 -$23,119.4
€ 13,800.0 € 12,701.3 -$25,268.5 -$22,567.3
€ 13,800.0 € 12,474.6 -$25,268.5 -$21,883.1
€ 13,800.0 € 12,249.8 -$25,268.5 -$21,312.8
€ 1,013,800.0 € 882,558.9 -$1,327,768.5 -$1,091,528.2
€ 1,000,000.0 -$1,302,500.0
-€ 1,000,000.0
 of bonds)---The worksheet
f a 5-year fixed-for-fixed CCS
ar and zero rates in €, and a par,
$) as a portfolio of a long
a short coupon bond in $.
 Year IRS € Z(0, year) € LIBOR € IRS $ Z(0, year) $ LIBOR $
0.5 1.62% 0.9920 1.615% 1.79% 0.9911 1.790%
1 1.70% 0.9832 1.700% 1.97% 0.9806 1.971%
1.5 1.79% 0.9737 1.786% 2.17% 0.9681 2.173%
2 1.87% 0.9634 1.872% 2.34% 0.9544 2.345%
2.5 2.05% 0.9503 2.050% 2.59% 0.9374 2.601%
3 2.22% 0.9356 2.230% 2.96% 0.9149 2.985%
3.5 2.37% 0.9204 2.384% 3.22% 0.8931 3.256%
4 2.52% 0.9040 2.540% 3.57% 0.8660 3.629%
4.5 2.64% 0.8877 2.666% 3.75% 0.8435 3.819%
5 2.76% 0.8705 2.792% 3.88% 0.8221 3.957%
5 2.76% 0.8705 2.792% 3.88% 0.8221 3.957%

EURUSD: 1.3025
r€(0,5): 2.76%
r$(0,5): 3.88%
Principal €: € 1,000,000
Principal $: $1,302,500
V Swap: € 0.0
FRW EURUSD Fixed leg € Fixed leg $ Implicit X V FX FRW
1.3036 € 13,800.0 -$25,268.5 1.8311 -€ 5,538.5
CCS pricing (portfolio of FX forwa
1.3060 € 13,800.0 -$25,268.5 1.8311 -€ 5,454.9
worksheet computes the value of
1.3100 € 13,800.0 -$25,268.5 1.8311 -€ 5,344.4
fixed CCS (based on previous par
and a par, zero, and frw curve in $
1.3148 € 13,800.0 -$25,268.5 1.8311 -€ 5,220.9
forwards (buying € forward = selli
1.3204 € 13,800.0 -$25,268.5 1.8311 -€ 5,072.3
1.3320 € 13,800.0 -$25,268.5 1.8311 -€ 4,838.2
1.3423 € 13,800.0 -$25,268.5 1.8311 -€ 4,624.8
1.3596 € 13,800.0 -$25,268.5 1.8311 -€ 4,326.2
1.3708 € 13,800.0 -$25,268.5 1.8311 -€ 4,113.2
1.3793 € 13,800.0 -$25,268.5 1.8311 -€ 3,934.8
1.3793 € 1,000,000.0 -$1,302,500.0 1.3025 € 48,468.2
€ 0.0
portfolio of FX forwards)---The
mputes the value of a 5-year fixed-for-
sed on previous par and zero rates in €,
o, and frw curve in $) as a portfolio of FX
ying € forward = selling $ forward).