Duration calculation 2012
ation 2012 5-Year T-Bond
Face value 10,431.39
Time 5
Coupon 11.5%
YTM 14%
t CF DF CF*DF CF*DF*t
1 1199.61 0.8810572687 1056.925129 1056.925129
2 1199.61 0.7762619108 931.2115674 1862.423135
3 1199.61 0.6839311989 820.4507201 2461.35216
4 1199.61 0.6025825541 722.8640706 2891.456282
5 11631 0.5309097393 6175.01198 30875.0599
Total 9706.463467 39147.21661
Duration 4.033108118
10-Year T-Bond
Face value 19,793.92
Time 10
Coupon 11.50%
YTM 13%
t CF DF CF*DF CF*DF*t
1 2276.301 0.8849557522 2014.425767 2014.425767
2 2276.301 0.7831466834 1782.67767 3565.35534
3 2276.301 0.6930501623 1577.590859 4732.772576
4 2276.301 0.6133187277 1396.098105 5584.39242
5 2276.301 0.542759936 1235.485049 6177.425243
6 2276.301 0.4803185274 1093.349601 6560.097603
7 2276.301 0.4250606437 967.5660182 6772.962127
8 2276.301 0.3761598617 856.2531134 6850.024907
9 2276.301 0.3328848334 757.7461181 6819.715063
10 22070.22 0.2945883481 6501.630794 65016.30794
Total 18182.82309 114093.479
Duration 6.274794535
15-Year T-Bond
Face value 7282.46764
Time 15
Coupon 12.00%
YTM 13.5%
t CF DF CF*DF CF*DF*t
1 873.8961 0.8810572687 769.9525258 769.9525258
2 873.8961 0.7762619108 678.3722694 1356.744539
3 873.8961 0.6839311989 597.6848189 1793.054457
4 873.8961 0.6025825541 526.5945541 2106.378216
5 873.8961 0.5309097393 463.9599595 2319.799798
6 873.8961 0.4677618848 408.7752948 2452.651769
7 873.8961 0.4121250087 360.1544447 2521.081113
8 873.8961 0.3631057345 317.3166914 2538.533531
9 873.8961 0.3199169467 279.5741774 2516.167597
10 873.8961 0.2818651513 246.3208612 2463.208612
11 873.8961 0.2483393403 217.0227852 2387.250637
12 873.8961 0.2188011809 191.2095024 2294.514028
13 873.8961 0.1927763709 168.4665219 2190.064785
14 873.8961 0.1698470228 148.4286537 2078.001151
15 8156.364 0.149644954 1220.558679 18308.38019
Total 6594.391739 48095.78294
Duration 7.29343734
20-Year T-Bond
Face value 4,979.73
Time 20
Coupon 12.50%
YTM 13.0%
t CF DF CF*DF CF*DF*t
1 622.466 0.8849557522 550.8548405 550.8548405
2 622.466 0.7831466834 487.4821597 974.9643194
3 622.466 0.6930501623 431.4001413 1294.200424
4 622.466 0.6133187277 381.7700366 1527.080146
5 622.466 0.542759936 337.8495899 1689.24795
6 622.466 0.4803185274 298.981938 1793.891628
7 622.466 0.4250606437 264.5857858 1852.100501
8 622.466 0.3761598617 234.1467131 1873.173705
9 622.466 0.3328848334 207.2094806 1864.885326
10 622.466 0.2945883481 183.3712218 1833.712218
11 622.466 0.2606976532 162.2754175 1785.029593
12 622.466 0.2307058878 143.6065642 1723.27877
13 622.466 0.2041645025 127.085455 1652.110915
14 622.466 0.1806765509 112.4650044 1574.510062
15 622.466 0.159890753 99.5265526 1492.898289
16 622.466 0.1414962416 88.07659523 1409.225524
17 622.466 0.1252179129 77.94388958 1325.046123
18 622.466 0.1108123123 68.97689343 1241.584082
19 622.466 0.0980639932 61.04149861 1159.788474
20 5602.194 0.0867822949 486.1712279 9723.424558
Toatl 4804.821006 38341.00745
Duration 7.979695268
15-Year special T-Bond
Face value 19570800000
Time 15
Coupon 14%
YTM 14%
t CF DF
1 873.8961168 0.881057269
2 873.8961168 0.776261911
3 873.8961168 0.683931199
4 873.8961168 0.602582554
5 873.8961168 0.530909739
6 873.8961168 0.467761885
7 873.8961168 0.412125009
8 873.8961168 0.363105735
9 873.8961168 0.319916947
10 873.8961168 0.281865151
11 873.8961168 0.24833934
12 873.8961168 0.218801181
13 873.8961168 0.192776371
14 873.8961168 0.169847023
15 19570800874 0.149644954
Total
Duration
3 month loan
Present value 61099.52035
Time 0.25
Interst rate 11.5%
YTM 12.0%
t CF DF CF*DF CF*DF*t
0.25 68125.9652 0.9720654209 66222.89503 16555.72
Duration 0.25
1 year loan
Present value 67,701.21
Time 1
Interst rate 12.00%
YTM 12.00%
t CF DF CF*DF CF*DF*t
1 75825.3555 0.8928571429 67701.21025 67701.21
Duration 1
5 year loan
Present value 78,032.51
Time 5
Interst rate 0.135
YTM 0.14
t CF DF CF*DF CF*DF*t
1 10,534.39 0.8771929825 9240.692003 9240.692
2 10534.3889 0.7694675285 8105.870178 16211.74
3 10534.3889 0.6749715162 7110.412437 21331.24
4 10534.3889 0.592080 6237.203892 24948.82
5 88566.8991 0.5193686644 45998.872 229994.4
Total 76693.05062 301726.8
Duration 3.934213639
10 year loan
Present value 69,672.38
Time 10
Interst rate 14.5%
YTM 15.0%
t CF DF CF*DF CF*DF*t
1 10102.4951 0.8695652174 8784.778347 8784.778
2 10102.4951 0.7561436673 7638.937693 15277.88
3 10102.4951 0.6575162324 6642.554516 19927.66
4 10102.4951 0.5717532456 5776.134362 23104.54
5 10102.4951 0.4971767353 5022.725532 25113.63
6 10102.4951 0.4323275959 4367.587419 26205.52
7 10102.4951 0.3759370399 3797.902103 26585.31
8 10102.4951 0.3269017738 3302.523568 26420.19
9 10102.4951 0.284262412 2871.759625 25845.84
10 79774.8751 0.247185 19719.12906 197191.3
Total 67924.03222 394456.6
Duration 5.807320685
CF*DF CF*DF*t
769.9525258 769.952525815
678.3722694 1356.744538881
597.6848189 1793.054456671
526.5945541 2106.3782163535
463.9599595 2319.7997977462
408.7752948 2452.6517685422
360.1544447 2521.081113039
317.3166914 2538.5335310651
279.5741774 2516.1675968707
246.3208612 2463.2086117187
217.0227852 2387.250636908
191.2095024 2294.5140282656
168.4665219 2190.0647846882
148.4286537 2078.0011511782
2928671596 43930073944.612
2928676970 43930103732.015
14.99998265
3 month T-Bill
Present value 2477.230318
Time 0.25
Interst rate 9.70%
YTM 10.40%
t CF DF CF*DF CF*DF*t
0.25 2717.521659 0.9755684161 2651.128300496 662.782075124
Duration 0.25
6 month T-Bill
Present value 2,034,134,949.00
Time 0.5
Interst rate 7.5%
YTM 0.075
t CF DF CF*DF CF*DF*t
0.5 2186695070 0.9644856443 2109036003.73464 1054518001.87
Duration 0.5
1 year T-Bill
Present value 4076220645
Time 1
Interst rate 8.50%
YTM 8.50%
t CF DF CF*DF CF*DF*t
1 4422699400 0.9216589862 4076220645 4076220645
Duration 1
5 year payable
Present value 102791.948944
Time 5
Interst rate 10.50%
YTM 11% t
1
t CF DF CF*DF CF*DF*t 2
1 10,793.15 0.9049773756 9767.5607593846 9767.56075938 3
2 10,793.15 0.8189840503 8839.4215017055 17678.8430034 4
3 10,793.15 0.7411620365 7999.4764721317 23998.4294164 5
4 10,793.15 0.670735 7239.3452236486 28957.3808946 6
5 113,585.10 0.6069998865 68946.145 344730.724936 7
Total 102791.948944 425132.939009 8
9
Duration 4.1358583369 10
Total
5 year Deposit
Present value 102,791,948,944.00
Time 5
Interst rate 0.105
YTM 0.105 t
1
t CF DF CF*DF CF*DF*t 2
1 ### 0.9049773756 9767560759.38462 9767560759.38 3
2 ### 0.8189840503 8839421501.70553 17678843003 4
3 ### 0.7411620365 7999476472.13171 23998429416 5
4 ### 0.670735 7239345223.6486 28957380895 6
5 ### 0.6069998865 68946144987.130 344730724936 7
Total 102791948944 425132939009 8
9
Duration 4.1358583369 10
Total
5 year payable with others bank
Present value 150.00
Time 5
Interst rate 11.00%
YTM 11%
t CF DF CF*DF CF*DF*t
1 16.50 0.9009009009 14.8648648649 14.8648648649
2 16.50 0.8116224332 13.3917701485 26.7835402971 t
3 16.50 0.7311913813 12.0646577915 36.1939733744 0.25
4 16.50 0.658731 10.8690610734 43.4762442936
5 166.50 0.5934513281 98.810 494.048230609
Total 150 615.366853439
Duration 4.1024456896
t
0.25
1 month with other bank
Present value 26680.81516
Time 0.083
Interst rate 5.50%
YTM 5.50%
t CF DF CF*DF CF*DF*t
0.083 28148.259994 0.995565976 28023.45 2325.946
Duration 0.083
3 month Deposite
Present value 63565072490
Time 0.25
Interst rate 6.00%
YTM 6.00%
t CF DF CF*DF CF*DF*t
0.25 67378976839 0.985538362 6.64E+10 1.66E+10
Duration 0.25
6 month Deposite
Present value 68664625652
Time 0.5
Interst rate 0.065
YTM 0.065
t CF DF CF*DF CF*DF*t
0.5 73127826319 0.969003166 7.09E+10 3.54E+10
Duration 0.5
2.5 year deposite
Present value 1.10207E+11
Time 2.5
Interst rate 10.25%
YTM 11.00%
t CF DF CF*DF CF*DF*t
2.5 121503492232 0.770357922 9.36E+10 2.34E+11
Duration 2.5
10 year payable
Present value 2,398,939.00
Time 10
Interst rate 11%
YTM 11.0%
CF DF CF*DF CF*DF*t
263,883.29 0.9009009009 237732.6937 237732.7
263,883.29 0.8116224332 214173.5979 428347.2
263,883.29 0.7311913813 192949.1873 578847.6
263,883.29 0.6587309741 173828.0967 695312.4
263,883.29 0.5934513281 156601.8889 783009.4
263,883.29 0.5346408361 141082.7828 846496.7
263,883.29 0.4816584109 127101.6061 889711.2
263,883.29 0.4339264963 114505.9515 916047.6
263,883.29 0.3909247714 103158.5148 928426.6
2,662,822.29 0.352184 937804.6803 9378047
2398939 15681978
Duration 6.537047532
10 year Deposit
Present value 1,861,033.00
Time 10
Interst rate 0.11
YTM 0.11
CF DF CF*DF CF*DF*t
204,713.63 0.9009009009 184426.6937 184426.7
204,713.63 0.8116224332 166150.1745 332300.3
204,713.63 0.7311913813 149684.8419 449054.5
204,713.63 0.6587309741 134851.2089 539404.8
204,713.63 0.5934513281 121487.5756 607437.9
204,713.63 0.5346408361 109448.2663 656689.6
204,713.63 0.4816584109 98602.04171 690214.3
204,713.63 0.4339264963 88830.66821 710645.3
204,713.63 0.3909247714 80027.62902 720248.7
2,065,746.63 0.352184 727523.9002 7275239 1 month with other BB bills
1861033 12165661 Present value 6371.215
Time 0.083
Duration 6.537047532 Interst rate 9.48%
YTM 9.48%
t CF DF
0.083 6975.205917 0.992511
Duration
3 month with other bank 1 month with other bank
Present value 63565.07249 Present va 6371.214758
Time 0.25 Time 0.083
Interst rate 6.00% Interst rate 9.48%
YTM 6.00% YTM 9.48%
CF DF CF*DF CF*DF*t t CF DF CF*DF
67378.9768394 0.9855383617 66404.56645 16601.14 0.083 6975.206 0.992510734 6922.967
Duration 0.25 Duration 0.083
6 month with BB
Present value 4071.471924 5-Year BB
Time 0.25 Face value 150
Interst rate 0.07 Time 5
YTM 0.07 Coupon 0.13
YTM 0.13
CF DF CF*DF CF*DF*t
4356.47495868 0.9832275876 4283.406364 1070.852 t CF DF
1 1254.415442 0.884956
Duration 0.25 2 1254.415442 0.783147
3 1254.415442 0.69305
4 1254.415442 0.613319
5 12068.34166 0.54276
Total
Duration
h other BB bills
CF*DF CF*DF*t
6922.967 574.6062
0.083
CF*DF*t
574.6062
CF*DF CF*DF*t
1110.102 1110.102
982.3913 1964.783
869.3728 2608.118
769.3565 3077.426
6550.212 32751.06
10281.44 41511.49
4.037519
