Bootstrapping with the BAII Plus Professional?


Is there a function in the calculator to solve for the 3-year spot rate?

Nope. You gotta do it the long, painful way.

Lo siento, mijo. :frowning:

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Prediction? Pain.

I wouldn’t even bother using the TVM functions. Just hack at it using first principles:

1- year spot is 5% (no math required)

2- year spot

100 = 6/1.05 + 106/(1 + 2 yr spot)^2
algebra happens here
2 yr spot = 6.03%

3- year spot

100 = 7/1.05 + 7/(1.0603^2)+ 107/(1 + 3 yr spot)^3
some more algebra happens here
3 yr spot = 7.09%

:nerd_face: :+1:

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I like the plan.

On the BAII:

P/Y=C/Y=1
2ND CLR TVM
2 N FV 106 PV -94.28571 CPT I 6.03031

-94.228571 = 100 - 6/1.05

I think it’s more work than just doing it from first principles.

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From your examples, I was able to create a hybrid of first principles and BAII Plus calculation. Your work is excelente.

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And PMT = 0, correct?

Yup. :+1:

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