inputs

outputs

Explanation

If your Excel
is in English
or not Spanish

Fixed Interest Rate Swap (IRS) Rate

(also interpreted as Yield to Maturity - YTM)

3.670

Coupon Rate of Bond

3.670

Maturity [of Bond in Years]

10

Duration (Macaulay) in years

8.55

Modified Duration [ Duration / (1+YTM) ]

Price Value of a YTM Basis Point in Basis Points (*)

8.25
8.25

(*) PVBP is the Price Value of a Basis Point, in basis points. It is the change in bond price in
basis points for a one basis point change (up or down) in the Yield to Maturity (YTM).
A one basis point (0,01%) rise in YTM to 3,68 will decrease bond price by 8,25 basis points
for a ten year bond with a coupon and YTM of 3,67%, input as 3,67, priced at par.
So the bond price after the rise would be 99,9175% (100%-0,0825%) instead of par (100%). Try it.
Note: Simply replace in column I, the words 'SI' which means 'IF' in Spanish, to get a working spreadsheet
in English if your Excel runs in English, with the word IF, or translate IF to your language in the I column.
Use the 'Edit'-'Replace All' menu, to do all 'IF' replacements in one go.
Also, replace 'SUMA' which means 'SUM' in Spanish, with the word for 'SUM' in your language,
in cells J33 and K33, also in one go, using the 'Replace all' item of the Edit menu.
Drop an email to workstudio500 at ebf@telefonica.net with comments. Many thanks. Cheers.

years

coupon

present value
of cash flow

1
2

3.67
3.67

3.540079
3.414757

3
4

3.67
3.67

3.293872
3.177267

5
6

3.67
3.67

3.064789
2.956293

3.67

2.851638

3.67

2.750688

3.67

2.653311

10

103.67

72.297306

11

0.000000

12

0.000000

13

0.000000

14

0.000000

nstead of par (100%). Try it.

15
16

0
0

0.000000
0.000000

anish, to get a working spreadsheet

to your language in the I column.

17

0.000000

18

0.000000

19

0.000000

20

0.000000

21
22
23
24
25
26
27
28
29
30

0
0
0
0
0
0
0
0
0
0

0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
100.00000
Bond Price

hange in bond price in

by 8,25 basis points

'SUM' in your language,

duration
3.540079
6.829515
9.881617
12.709067
15.323945
17.737758
19.961465
22.005501
23.879800
722.973058
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
8.55
Duration

outputs