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Tarea 1 Derivados
Tarea 1 Derivados
2.
Concepto Posición Larga Posición Corta
Pago $0.02015 $0.01875
Cobro $0.01875 $0.02015
Flujo Neto -$0.0014 $0.0014
3.
-$0.00134862
10.2 Información
(tasa de de mercado
IPC Posición
Fecha rendimiento (puntos) Ft Saldo inicial Liquidació n
31-Dec-19 en puntos
7.2500 43,541.0200 $88,636.45
2-Jan-20 7.2500 44,437.2300 $90,425.70 $8,863.65 $1,789.25
3-Jan-20 7.2500 44,624.8500 $90,789.83 $10,652.89 $364.14
6-Jan-20 7.2500 44,495.3000 $90,473.48 $11,017.03 -$316.36
7-Jan-20 7.2500 44,157.8100 $89,769.79 $10,700.67 -$703.68
8-Jan-20 7.2500 44,470.9100 $90,388.73 $9,996.99 $618.94
9-Jan-20 7.2600 44,572.1700 $90,578.86 $10,615.92 $190.13
10-Jan-20 7.2600 44,660.3300 $90,740.35 $10,806.05 $161.49
13-Jan-20 7.2600 44,847.4700 $91,067.37 $10,967.54 $327.03
14-Jan-20 7.2600 44,773.2400 $90,898.94 $11,294.57 -$168.43
15-Jan-20 7.2600 44,453.3300 $90,231.89 $11,126.14 -$667.05
16-Jan-20 7.0000 45,303.0800 $91,892.35 $10,459.08 $1,660.46
17-Jan-20 7.0000 45,817.7600 $92,918.85 $12,119.54 $1,026.51
20-Jan-20 7.0000 45,902.6800 $93,038.60 $13,146.05 $119.75
21-Jan-20 7.0000 45,637.3200 $92,483.37 $13,265.80 -$555.23
22-Jan-20 7.0000 45,604.4400 $92,399.37 $12,710.56 -$84.00
23-Jan-20 7.0500 45,476.4300 $92,130.82 $12,626.57 -$268.55
24-Jan-20 7.0500 45,141.6200 $91,435.23 $12,358.02 -$695.60
27-Jan-20 7.0500 44,134.3900 $89,344.33 $11,662.42 -$2,090.90
28-Jan-20 7.0500 44,717.9400 $90,508.52 $9,571.52 $1,164.19
29-Jan-20 7.0500 45,132.6000 $91,330.50 $10,735.71 $821.98
30-Jan-20 7.0400 44,862.7600 $90,765.83 $11,557.69 -$564.66
31-Jan-20 7.0400 44,108.3100 $89,222.58 $10,993.03 -$1,543.26
4-Feb-20 7.0400 45,047.0700 $91,052.65 $9,449.77 $1,830.08
5-Feb-20 7.0400 44,782.8600 $90,501.51 $11,279.85 -$551.15
6-Feb-20 6.9900 44,493.1500 $89,892.74 $10,728.70 -$608.76
7-Feb-20 6.9900 44,399.3300 $89,686.36 $10,119.94 -$206.39
10-Feb-20 6.9900 44,290.5300 $89,416.22 $9,913.55 -$270.13
11-Feb-20 6.9900 45,027.4100 $90,886.82 $9,643.42 $1,470.60
12-Feb-20 6.9900 45,338.3700 $91,497.31 $11,114.01 $610.49
13-Feb-20 7.0000 45,005.1200 $90,808.84 $11,724.50 -$688.47
14-Feb-20 7.0000 44,999.6800 $90,780.80 $11,036.04 -$28.04
17-Feb-20 7.0000 45,016.9600 $90,764.47 $11,008.00 -$16.33
18-Feb-20 7.0000 44,974.1100 $90,661.04 $10,991.67 -$103.44
19-Feb-20 7.0000 44,901.5000 $90,497.66 $10,888.23 -$163.38
20-Feb-20 6.9500 44,774.5400 $90,220.13 $10,724.85 -$277.53
21-Feb-20 6.9500 44,802.5400 $90,259.70 $10,447.32 $39.57
24-Feb-20 6.9500 43,818.0700 $88,226.96 $10,486.89 -$2,032.74
25-Feb-20 6.9500 43,045.6800 $86,655.59 $8,454.16 -$1,571.37
26-Feb-20 6.9500 42,737.2800 $86,018.69 $6,882.79 -$636.90
27-Feb-20 6.9100 41,607.4200 $83,726.09 $8,863.65 -$2,292.61
28-Feb-20 6.9100 41,324.3100 $83,140.96 $8,863.65 -$585.13
2-Mar-20 6.9100 42,167.2400 $84,789.63 $8,278.51 $1,648.68
3-Mar-20 6.9100 42,472.2500 $85,387.10 $9,927.19 $597.46
4-Mar-20 6.9100 43,404.7600 $87,245.64 $10,524.65 $1,858.54
5-Mar-20 6.7000 42,344.8600 $85,087.31 $12,383.20 -$2,158.33
6-Mar-20 6.7000 41,388.7800 $83,151.19 $10,224.87 -$1,936.12
9-Mar-20 6.7000 38,730.5600 $77,768.72 $8,288.75 -$5,382.48
10-Mar-20 6.7000 39,565.4400 $79,430.80 $8,863.65 $1,662.08
11-Mar-20 6.7000 38,678.5500 $77,636.31 $10,525.73 -$1,794.49
12-Mar-20 6.8100 36,636.7000 $73,528.62 $8,731.24 -$4,107.69
13-Mar-20 6.8100 38,085.0500 $76,421.42 $8,863.65 $2,892.80
17-Mar-20 6.8100 36,862.8400 $73,914.81 $11,756.45 -$2,506.61
18-Mar-20 6.8100 35,532.7400 $71,234.75 $9,249.84 -$2,680.06
19-Mar-20 7.1500 35,143.6300 $70,449.25 $8,863.65 -$785.50
20-Mar-20 7.1500 34,269.5100 $68,683.80 $8,078.14 -$1,765.45
23-Mar-20 7.1500 32,964.2200 $66,029.70 $8,863.65 -$2,654.11
24-Mar-20 7.1500 34,371.5300 $68,835.43 $8,863.65 $2,805.74
25-Mar-20 7.1500 35,536.7000 $71,155.25 $11,669.38 $2,319.82
26-Mar-20 6.5900 35,706.5700 $71,476.47 $13,989.20 $321.22
27-Mar-20 6.5900 33,799.4900 $67,646.93 $14,310.42 -$3,829.54
30-Mar-20 6.5900 34,199.9700 $68,412.07 $10,480.88 $765.13
31-Mar-20 6.5900 34,554.5300 $69,109.06 $11,246.02 $696.99
Larga Posición Corta
Saldo Final Depó sitos Saldo inicial Liquidació n Saldo Final Depó sitos
$8,863.65 0 $8,863.65 0
$10,652.89 0 $8,863.65 -$1,789.25 $7,074.40 0
$11,017.03 0 $7,074.40 -$364.14 $6,710.26 0
$10,700.67 0 $6,710.26 $316.36 $7,026.62 0
$9,996.99 0 $7,026.62 $703.68 $7,730.30 0
$10,615.92 0 $7,730.30 -$618.94 $7,111.37 0
$10,806.05 0 $7,111.37 -$190.13 $6,921.24 0
$10,967.54 0 $6,921.24 -$161.49 $6,759.75 0
$11,294.57 0 $6,759.75 -$327.03 $6,432.72 $2,430.92
$11,126.14 0 $8,863.65 $168.43 $9,032.07 0
$10,459.08 0 $9,032.07 $667.05 $9,699.13 0
$12,119.54 0 $9,699.13 -$1,660.46 $8,038.67 0
$13,146.05 0 $8,038.67 -$1,026.51 $7,012.16 0
$13,265.80 0 $7,012.16 -$119.75 $6,892.41 0
$12,710.56 0 $6,892.41 $555.23 $7,447.65 0
$12,626.57 0 $7,447.65 $84.00 $7,531.65 0
$12,358.02 0 $7,531.65 $268.55 $7,800.19 0
$11,662.42 0 $7,800.19 $695.60 $8,495.79 0
$9,571.52 0 $8,495.79 $2,090.90 $10,586.69 0
$10,735.71 0 $10,586.69 -$1,164.19 $9,422.50 0
$11,557.69 0 $9,422.50 -$821.98 $8,600.52 0
$10,993.03 0 $8,600.52 $564.66 $9,165.18 0
$9,449.77 0 $9,165.18 $1,543.26 $10,708.44 0
$11,279.85 0 $10,708.44 -$1,830.08 $8,878.36 0
$10,728.70 0 $8,878.36 $551.15 $9,429.51 0
$10,119.94 0 $9,429.51 $608.76 $10,038.27 0
$9,913.55 0 $10,038.27 $206.39 $10,244.66 0
$9,643.42 0 $10,244.66 $270.13 $10,514.79 0
$11,114.01 0 $10,514.79 -$1,470.60 $9,044.20 0
$11,724.50 0 $9,044.20 -$610.49 $8,433.71 0
$11,036.04 0 $8,433.71 $688.47 $9,122.17 0
$11,008.00 0 $9,122.17 $28.04 $9,150.21 0
$10,991.67 0 $9,150.21 $16.33 $9,166.54 0
$10,888.23 0 $9,166.54 $103.44 $9,269.98 0
$10,724.85 0 $9,269.98 $163.38 $9,433.36 0
$10,447.32 0 $9,433.36 $277.53 $9,710.89 0
$10,486.89 0 $9,710.89 -$39.57 $9,671.32 0
$8,454.16 0 $9,671.32 $2,032.74 $11,704.06 0
$6,882.79 0 $11,704.06 $1,571.37 $13,275.42 0
$6,245.89 $2,617.76 $13,275.42 $636.90 $13,912.32 0
$6,571.04 $2,292.61 $13,912.32 $2,292.61 $16,204.93 0
$8,278.51 0 $16,204.93 $585.13 $16,790.06 0
$9,927.19 0 $16,790.06 -$1,648.68 $15,141.38 0
$10,524.65 0 $15,141.38 -$597.46 $14,543.92 0
$12,383.20 0 $14,543.92 -$1,858.54 $12,685.38 0
$10,224.87 0 $12,685.38 $2,158.33 $14,843.71 0
$8,288.75 0 $14,843.71 $1,936.12 $16,779.82 0
$2,906.27 $5,957.37 $16,779.82 $5,382.48 $22,162.30 0
$10,525.73 0 $22,162.30 -$1,662.08 $20,500.22 0
$8,731.24 0 $20,500.22 $1,794.49 $22,294.71 0
$4,623.55 $4,240.10 $22,294.71 $4,107.69 $26,402.40 0
$11,756.45 0 $26,402.40 -$2,892.80 $23,509.59 0
$9,249.84 0 $23,509.59 $2,506.61 $26,016.20 0
$6,569.77 $2,293.87 $26,016.20 $2,680.06 $28,696.27 0
$8,078.14 0 $28,696.27 $785.50 $29,481.77 0
$6,312.70 $2,550.95 $29,481.77 $1,765.45 $31,247.22 0
$6,209.54 $2,654.11 $31,247.22 $2,654.11 $33,901.32 0
$11,669.38 0 $33,901.32 -$2,805.74 $31,095.58 0
$13,989.20 0 $31,095.58 -$2,319.82 $28,775.76 0
$14,310.42 0 $28,775.76 -$321.22 $28,454.55 0
$10,480.88 0 $28,454.55 $3,829.54 $32,284.08 0
$11,246.02 0 $32,284.08 -$765.13 $31,518.95 0
$11,943.01 0 $31,518.95 -$696.99 $30,821.96 0
V=F0 $88,636.45
Mini $8,863.65
MM $6,647.73
CM Posición Larga
-$19,527.39
CM Posición Corta
$19,527.39
(tasa de
Fecha rendimiento Tasa Fija (%) 11.3→ F fijo VP(F fijo)
1-Apr-19 en puntos
7.8500 8
29-Apr-19 7.7500 8 $6,222.22 $6,184.94
27-May-19 8.0300 8 $6,222.22 $6,145.46
24-Jun-19 8.2400 8 $6,222.22 $6,104.85
22-Jul-19 8.1300 8 $6,222.22 $6,068.72
19-Aug-19 8.0500 8 $6,222.22 $6,033.35
16-Sep-19 7.7200 8 $6,222.22 $6,005.85
14-Oct-19 7.7000 8 $6,222.22 $5,971.87
11-Nov-19 7.5500 8 $6,222.22 $5,943.03
9-Dec-19 7.4000 8 $6,222.22 $5,915.78
6-Jan-20 7.2500 8 $6,222.22 $5,890.09
3-Feb-20 7.0400 8 $6,222.22 $5,868.74
2-Mar-20 6.9100 8 $6,222.22 $5,845.24
30-Mar-20 6.5900 8 $1,006,222.22 $943,363.80
11.2
TIIE28 Vs Fija8%
9
6
Tasa Fija (%)
5 TIIE 28 días
(tasa de rendimiento en puntos
4 porcentuales)
3
0
6 4 2 0 8 6 4 2 0 8 6 4 2 0
3 5 5 358 36 1 364 36 6 369 37 2 375 378 38 0 383 3 86 389 3 92
4 4 4 4 4 4 4 4 4 4 4 4 4 4
(tasa de
rendimiento F var VP(Fvar) 11.4 → FN fijo VP(FN fijo)
en puntos
8.5150
8.5043 $7,206.11 $7,162.93 $983.89 $977.99
8.5075 $7,197.79 $7,108.99 $975.57 $963.53
8.5039 $7,200.28 $7,064.45 $978.06 $959.61
8.4775 $7,197.48 $7,019.92 $975.26 $951.20
8.2800 $7,176.94 $6,959.09 $954.72 $925.74
8.2070 $7,023.33 $6,779.10 $801.11 $773.25
8.0025 $6,966.56 $6,686.25 $744.33 $714.38
7.9450 $6,807.50 $6,502.05 $585.28 $559.02
7.7710 $6,762.78 $6,429.72 $540.56 $513.93
7.5495 $6,627.44 $6,273.68 $405.22 $383.59
7.5002 $6,455.17 $6,088.45 $232.94 $219.71
7.2925 $6,416.82 $6,028.05 $194.60 $182.81
6.7487 $1,006,255.28 $943,394.79 $33.06 $30.99
sa Fija (%)
E 28 días
sa de rendimiento en puntos
rcentuales)
VP(FN
FN variable variable) Nocional
$1,000,000.00
-$983.89 -$977.99
-$975.57 -$963.53
-$978.06 -$959.61
-$975.26 -$951.20
-$954.72 -$925.74
-$801.11 -$773.25
-$744.33 -$714.38
-$585.28 -$559.02
-$540.56 -$513.93
-$405.22 -$383.59
-$232.94 -$219.71
-$194.60 -$182.81
-$33.06 -$30.99
Fija Flotante
A 0.05 TIIE + 0.25%
B 6.5% TIIE + 0.75%
Ahorro 0.005
Flujos para A
-Préstamo tasa fija -Pago Swap +Recibe Swap = -Préstamo tasa variable
-0.05 -TIIE 28 +r = -(TIIE28+.25%)
r = -(TIIE28-.25%)
r = 5%
r = 5.25%
Flujos para B
+Ahorro -Préstamo tasa va-Pago Swap +Recibe Swap =
+.5% -(TIIE28 + .75%) -r +TIIE 28 =
-r -.75% =
+TIIE28 +5% -r =
+.25% r =
-Préstamo tasa fija +Ahorro
-6.5% +.5%
-6%
-5.25%
5.25%