Using the closed-form bond formula posted before, this bunch of spreadsheet is produced to value a bond at any point in its life time and do some analyses, as follows:
- Portfolio valuation, duration and convexity
- Derivatives valuation: FRA, Swap, Futures
- Risk governance: Value-at-Risk, Stress Testing and Scenario Analysis
- Hedging effectiveness
- Liquidity analysis
Remark: this portfolio is a liability/debt portfolio, NOT an asset/investment portfolio.
[Sorry, it's a premium spreadsheet]
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