Hello, dear friend, you can consult us at any time if you have any questions, add WeChat: daixieit

MGF644 Final Project – Fall 2023

Objective:

Perform large scale instrument modeling using excel logics, perform large valuation analysis and summation, and use scenario analysis function to project rates impact on portfolio

Description:

Using Yieldbook Add-In tool, model the swaps outlined in “Portfolio.MGF.644.excl” File. Review the characteristics of swaps and ensure modeling is done correctly.

Then calculate below analytics and brief summary in a separate notes tab on the performance of the portfolio for 3 different valuation dates of 1/15/2021, 03/15/2022 & 11/15/2023 and project what will happen to the portfolio’s value if there is a gradual 150 bps increase in general level of rates in the next 1 year. Submit your neat and professional work on UBLearns.

Analytics:

Total Accruals

Total Dirty Price

Total Clean Price

Total dollar duration

Total weighted average maturity

Total Floating leg value

Due Date:

12/11/2023