As of March 27, 2019

T 10
PMT € 7,500.00

Risk Metrics Vertex Yield % Price Volatility

1.65*σ σ σ^2
5 yr 7.628% 0.533% 0.323% 0.00104%
7 yr 7.794% 0.696% 0.422% 0.00178%

(1) Calculating the actual Cash flow’s interpolated yield

y6 7.718%

(2) determine the actual Cash flow’s present value

CF 6 € 4,801.09

(3) Calculate the standard deviation of the price return on the actual cash flow:
σ6 0.376%
variance 6 0.001417%

(4) Calculating α
a 0.00000198423
b -0.00000934243
c 0.00000362719

α 0.4269675747
1-α 0.5730324253

Term 5 yr 7yr CF
1 € 7,500.00 € 7,500.00 € 6,962.30
2 € 7,500.00 € 7,500.00 € 6,463.15
3 € 7,500.00 € 7,500.00 € 5,999.79
4 € 7,500.00 € 7,500.00 € 5,569.65
5 € 107,500.00 € 7,500.00 € 34,734.72
6 € - € 7,500.00 € 2,739.51
7 € - € 107,500.00 € 36,427.18
Correlation matrix

1 0.963
0.963 1

α 0.46