MGF644 Final Project – Fall 2023
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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
2023-12-04