Xinranshi

as

100110.0812 4 coupon

Price at to 4 0.9634 104 0.92584100.1368

priceat 40.5up 104

to
99.4739

0.5 tho no.gg

4 104
0 104 40.5down 100.40548

1 21
0.0716

99.4739 100.4055

air a 4g
0.0910 0.0716

99,4739

c o

180.1368

exercise 0 0.1368
J 100.4055

waitedwake C 0 0.4055
I
0.9634

0.1953
6 0.4055

value 0.1953
option


Noncallablebond 100.1368

Calloption 0.1953

callablebond 100.1368 011953 899.9415 Shouldnotcall

100 99,4739
FR
a B exercise
to 5261

8og o

Receiver 100.1368
payer

Value
Swap seller
ofswapValue FYI 0.1368 100.4055
waitvalue0.963410150.5261

of
putable
swap of
SwaptValue pager of 0.2534

swaption
swaptionVale 0.2534

A Receiver

swaption

Theswap rate should be 10 thematurity dateshouldbe 5 notionalshould

be 100.000

bondcalldate
The swaption is exercised on all to Time 4.5

ofthe up

Forthebond at a price onecoupon with the call price

of part
in a linear fashion to

declining
par at maturity

 5.526

00xImax5.526 5.25 1,03 2 1000100138 0.138

4go capat t0.5 0.138 0.1343

cap Ot 0.50.1345 it5.526 12

0.976086

0.0655 4.345

cap 0

Value FRN 100 0.0655 899.9345

of capped

Collar Value Vale

ofcap offloor

assume 4.345 CK 4.9

Ck O 0435712 100 0.978737 0.0655

k 0.0462

Um0.05 125 4938.27 0.976086111.54 61.731 0.9525

N 10,000 TY 5002.4571

5188,2
Montlypayment

B 1251 0.976086 1125450007 0.952587 85004.0191
Morgage

At105
5061.73
payoff

5188.27 0.973113 85048.7730
wait

payoff 10,000 value 5048.7730

Wait 15048.7730 5061.731015 5188.21

0.976086

v payoff 5061173
9998.5579 wait 5188.27 0.978737 85077.9518

Value 5061.73

Payoff
10,000 At105
wait 5063.273 payoff 61.73

146.45 861.731 0.5 61.731.540.973113 861.5689
wait

value 61.5689
5002.36

payoff 61.73

wait463.27 0.978737 861.9246

Value 61.73

payoff 10,000

150004987.204110.5 125 3
At105
Wait payoff
5000

0.976086 84987.2041

4996.19 wait 54958,9 31,3

4996.1958 5002.3621 89998.5579 V payoff 5000

wait 312510.978737 5016.0271

Value 5000

0.976086 250 0.952587 126.54

364.56

0.9760864938,27 0.952587 5061.73

9641.91

IOvalue 126.54 0.973113 5123.1377

10Value 25040,5123.1377 0.976086

304,12

IO 0

Povale5061,73 0.973113 84925.6353

Jonah 5061.73 4925.6353142 4938.27

0.976086 Povale 5061.73
9694.44

Totp0 9998.5579

5188.27 250 4938.27 2530.872530.86

253086 12594.13 63.27 2530.86 o o
 is IO

0 250 0.976086 63.270.952581

0.5
30429
05

ii Po

Po 493827 2530.877 0.9760862530.86 0.952587

970139