{"text_format":"1","workbook":"xlsx","n_sheets":2,"sheets":["Market Data","Valuation"],"not_rendered":{"charts":0,"images":0,"macros":1,"external_links":0,"defined_names":0,"comments":0,"pivot_tables":0},"unopened":[],"bounds":{"document_bytes":16777216,"sheet_cells":100000,"rows_first":2000,"rows_last":500,"rows_between":2000,"halvings":0,"cell_chars":16384,"cell_head_chars":4096},"cells_cut":0,"cells_raw":0,"read":"whole","date_system":"1900"}

{"sheet":"Market Data","index":0,"n_rows":19,"n_cols":3,"rows_kept":19,"cut":false,"hidden":false,"merged":[[3,1,3,2]]}
[]
[null,"Curve Date","2024-05-13"]
[]
[null,"INR Curve"]
[null,"Maturity Date","Rate"]
[null,"2024-05-13",6.9517723671252099E-2]
[null,"2024-06-14",6.9517723671252099E-2]
[null,"2024-07-15",6.9525099705495502E-2]
[null,"2024-08-14",6.9122171307002295E-2]
[null,"2024-11-14",6.8839878570238794E-2]
[null,"2025-02-14",6.8358281965887502E-2]
[null,"2025-05-14",6.82035981251157E-2]
[null,"2026-05-14",6.6616839649729795E-2]
[null,"2027-05-14",6.6084469368528506E-2]
[null,"2028-05-15",6.57600267338843E-2]
[null,"2029-05-14",6.5778493685222594E-2]
[null,"2031-05-14",6.6289757131295104E-2]
[null,"2034-05-15",6.62808970248943E-2]
[null,"2099-02-14",6.62808970248943E-2]

{"sheet":"Valuation","index":1,"n_rows":88,"n_cols":13,"rows_kept":88,"cut":false,"hidden":false,"merged":[]}
[]
[null,"Nominal","Valuation Date","Spot Date","Option Maturity","Swap Start Date","Swap Maturity","Strike","Volatility","Fixed Leg","Float Leg"]
[null,3000000000,"2024-05-13","2024-05-14","2024-05-24","2024-05-27","2026-05-27",6.5000000000000002E-2,0.105,"Payer","Receiver"]
[]
[null,"Step: Pricing underlying IRS"]
[]
[null,"DF (Val date to swap start)",{"$f":"(1+Interpo(F3,'Market Data'!$B$6:$B$19,'Market Data'!$C$6:$C$19))^(-YEARFRAC($C$3,F3,3))","v":0.99742548551885302}]
[]
[null,"Fixed leg:"]
[]
[null,"Calculation start date","Calculation end date","Payment date","Remaining capital","Rate","Yearfrac","Undiscounted CFs","DF - Val to Payment","DF - Swap start to payment","Discounted CFs"]
[null,"2024-05-27","2024-11-27",{"$f":"C12","v":"2024-11-27"},{"$f":"$B$3","v":3000000000},{"$f":"$H$3","v":6.5000000000000002E-2},{"$f":"YEARFRAC(B12,C12,3)","v":0.50410958904109593},{"$f":"F12*E12*G12","v":98301369.8630137},{"$f":"(1+Interpo(D12,'Market Data'!$B$6:$B$19,'Market Data'!$C$6:$C$19))^(-YEARFRAC($C$3,D12,3))","v":0.96456362098415771},{"$f":"I12/$C$7","v":0.96705331374443393},{"$f":"H12*J12","v":95062665.471644625}]
[null,"2024-11-27","2025-05-27",{"$f":"C13","v":"2025-05-27"},{"$f":"$B$3","v":3000000000},{"$f":"$H$3","v":6.5000000000000002E-2},{"$f":"YEARFRAC(B13,C13,3)","v":0.49589041095890413},{"$f":"F13*E13*G13","v":96698630.1369863},{"$f":"(1+Interpo(D13,'Market Data'!$B$6:$B$19,'Market Data'!$C$6:$C$19))^(-YEARFRAC($C$3,D13,3))","v":0.93383632499422997},{"$f":"I13/$C$7","v":0.93624670569597046},{"$f":"H13*J13","v":90533773.911066517}]
[null,"2025-05-27","2025-11-27","2025-11-27",3000000000,6.5000000000000002E-2,0.50410958904109593,98301369.8630137,{"$f":"(1+Interpo(D14,'Market Data'!$B$6:$B$19,'Market Data'!$C$6:$C$19))^(-YEARFRAC($C$3,D14,3))","v":0.90435597918064137},0.90669026640140682,89128895.228719115]
[null,"2025-11-27","2026-05-27","2026-05-27",3000000000,6.5000000000000002E-2,0.49589041095890413,96698630.1369863,{"$f":"(1+Interpo(D15,'Market Data'!$B$6:$B$19,'Market Data'!$C$6:$C$19))^(-YEARFRAC($C$3,D15,3))","v":0.87684851113874585},0.87911179719116161,85008906.525649443]
[null,null,null,null,null,null,null,null,null,null,{"$f":"SUM(K12:K15)","v":359734241.13707972}]
[]
[null,"Float leg:"]
[]
[null,"Calculation start date","Calculation end date","Payment date","Remaining capital","DF Swap start to Start date","DF Swap start to End Date","Rate","Yearfrac","Undiscounted CFs","DF - Val to Payment","DF - Swap start to payment","Discounted CFs"]
[null,"2024-05-27","2024-11-27",{"$f":"C21","v":"2024-11-27"},{"$f":"$B$3","v":3000000000},{"$f":"(1+Interpo(B21,'Market Data'!$B$6:$B$19,'Market Data'!$C$6:$C$19))^(-YEARFRAC($C$3,B21,3))/$C$7","v":1},{"$f":"(1+Interpo(C21,'Market Data'!$B$6:$B$19,'Market Data'!$C$6:$C$19))^(-YEARFRAC($C$3,C21,3))/$C$7","v":0.96705331374443393},{"$f":"(F21/G21-1)/YEARFRAC(B21,C21,3)","v":6.7582828526428509E-2},{"$f":"YEARFRAC(B21,C21,3)","v":0.50410958904109593},{"$f":"H21*E21*I21","v":102207455.74407819},{"$f":"(1+Interpo(D21,'Market Data'!$B$6:$B$19,'Market Data'!$C$6:$C$19))^(-YEARFRAC($C$3,D21,3))","v":0.96456362098415771},{"$f":"K21/$C$7","v":0.96705331374443393},{"$f":"J21*L21","v":98840058.76669839}]
[null,"2024-11-27","2025-05-27",{"$f":"C22","v":"2025-05-27"},{"$f":"$B$3","v":3000000000},{"$f":"(1+Interpo(B22,'Market Data'!$B$6:$B$19,'Market Data'!$C$6:$C$19))^(-YEARFRAC($C$3,B22,3))/$C$7","v":0.96705331374443393},{"$f":"(1+Interpo(C22,'Market Data'!$B$6:$B$19,'Market Data'!$C$6:$C$19))^(-YEARFRAC($C$3,C22,3))/$C$7","v":0.93624670569597046},{"$f":"(F22/G22-1)/YEARFRAC(B22,C22,3)","v":6.6354116369339564E-2},{"$f":"YEARFRAC(B22,C22,3)","v":0.49589041095890413},{"$f":"H22*E22*I22","v":98713110.105620235},{"$f":"(1+Interpo(D22,'Market Data'!$B$6:$B$19,'Market Data'!$C$6:$C$19))^(-YEARFRAC($C$3,D22,3))","v":0.93383632499422997},{"$f":"K22/$C$7","v":0.93624670569597046},{"$f":"J22*L22","v":92419824.145390555}]
[null,"2025-05-27","2025-11-27","2025-11-27",3000000000,{"$f":"(1+Interpo(B23,'Market Data'!$B$6:$B$19,'Market Data'!$C$6:$C$19))^(-YEARFRAC($C$3,B23,3))/$C$7","v":0.93624670569597046},{"$f":"(1+Interpo(C23,'Market Data'!$B$6:$B$19,'Market Data'!$C$6:$C$19))^(-YEARFRAC($C$3,C23,3))/$C$7","v":0.90669026640140682},6.4664839024985182E-2,{"$f":"YEARFRAC(B23,C23,3)","v":0.50410958904109593},{"$f":"H23*E23*I23","v":97794496.278881714},{"$f":"(1+Interpo(D23,'Market Data'!$B$6:$B$19,'Market Data'!$C$6:$C$19))^(-YEARFRAC($C$3,D23,3))","v":0.90435597918064137},0.90669026640140682,88669317.883690655]
[null,"2025-11-27","2026-05-27","2026-05-27",3000000000,{"$f":"(1+Interpo(B24,'Market Data'!$B$6:$B$19,'Market Data'!$C$6:$C$19))^(-YEARFRAC($C$3,B24,3))/$C$7","v":0.90669026640140682},{"$f":"(1+Interpo(C24,'Market Data'!$B$6:$B$19,'Market Data'!$C$6:$C$19))^(-YEARFRAC($C$3,C24,3))/$C$7","v":0.87911179719116161},6.3261624173170591E-2,{"$f":"YEARFRAC(B24,C24,3)","v":0.49589041095890413},{"$f":"H24*E24*I24","v":94112498.427483916},{"$f":"(1+Interpo(D24,'Market Data'!$B$6:$B$19,'Market Data'!$C$6:$C$19))^(-YEARFRAC($C$3,D24,3))","v":0.87684851113874585},0.87911179719116161,82735407.630735755]
[null,null,null,null,null,null,null,null,null,null,null,null,{"$f":"SUM(M21:M24)","v":362664608.42651534}]
[]
[null,"NPV of the swap",{"$f":"-K16+M25","v":2930367.2894356251}]
[]
[null,"Step: Computing swap annuity factor"]
[]
[null,"Swap Annuity Factor",{"$f":"SUMPRODUCT(G12:G15,I12:I15)","v":1.8400415390969633}]
[]
[null,"Step: Computing fair forward rate"]
[]
[null,"Fair forward rate (using formula)",{"$f":"SUMPRODUCT(H21:H24,I21:I24,K21:K24)/C31","v":6.5529484969824525E-2}]
[]
[null,"Fair forward rate (using swap valuation)",6.5529484969824525E-2]
[null,"Diff",{"$f":"C37-C35","v":0}]
[]
[null,"Fixed leg:"]
[]
[null,"Calculation start date","Calculation end date","Payment date","Remaining capital","Rate","Yearfrac","Undiscounted CFs","DF - Val to Payment","DF - Swap start to payment","Discounted CFs"]
[null,"2024-05-27","2024-11-27",{"$f":"C43","v":"2024-11-27"},{"$f":"$B$3","v":3000000000},{"$f":"$C$37","v":6.5529484969824525E-2},{"$f":"YEARFRAC(B43,C43,3)","v":0.50410958904109593},{"$f":"F43*E43*G43","v":99102125.21463874},{"$f":"(1+Interpo(D43,'Market Data'!$B$6:$B$19,'Market Data'!$C$6:$C$19))^(-YEARFRAC($C$3,D43,3))","v":0.96456362098415771},{"$f":"I43/$C$7","v":0.96705331374443393},{"$f":"H43*J43","v":95837038.587932214}]
[null,"2024-11-27","2025-05-27",{"$f":"C44","v":"2025-05-27"},{"$f":"$B$3","v":3000000000},{"$f":"$C$37","v":6.5529484969824525E-2},{"$f":"YEARFRAC(B44,C44,3)","v":0.49589041095890413},{"$f":"F44*E44*G44","v":97486329.694834843},{"$f":"(1+Interpo(D44,'Market Data'!$B$6:$B$19,'Market Data'!$C$6:$C$19))^(-YEARFRAC($C$3,D44,3))","v":0.93383632499422997},{"$f":"I44/$C$7","v":0.93624670569597046},{"$f":"H44*J44","v":91271255.027180389}]
[null,"2025-05-27","2025-11-27","2025-11-27",3000000000,6.5529484969824525E-2,0.50410958904109593,99102125.21463874,{"$f":"(1+Interpo(D45,'Market Data'!$B$6:$B$19,'Market Data'!$C$6:$C$19))^(-YEARFRAC($C$3,D45,3))","v":0.90435597918064137},0.90669026640140682,89854932.311806381]
[null,"2025-11-27","2026-05-27","2026-05-27",3000000000,6.5529484969824525E-2,0.49589041095890413,97486329.694834843,{"$f":"(1+Interpo(D46,'Market Data'!$B$6:$B$19,'Market Data'!$C$6:$C$19))^(-YEARFRAC($C$3,D46,3))","v":0.87684851113874585},0.87911179719116161,85701382.499596372]
[null,null,null,null,null,null,null,null,null,null,{"$f":"SUM(K43:K46)","v":362664608.42651534}]
[]
[null,"Float leg:"]
[]
[null,"Calculation start date","Calculation end date","Payment date","Remaining capital","DF Swap start to Start date","DF Swap start to End Date","Rate","Yearfrac","Undiscounted CFs","DF - Val to Payment","DF - Swap start to payment","Discounted CFs"]
[null,"2024-05-27","2024-11-27",{"$f":"C52","v":"2024-11-27"},{"$f":"$B$3","v":3000000000},{"$f":"(1+Interpo(B52,'Market Data'!$B$6:$B$19,'Market Data'!$C$6:$C$19))^(-YEARFRAC($C$3,B52,3))/$C$7","v":1},{"$f":"(1+Interpo(C52,'Market Data'!$B$6:$B$19,'Market Data'!$C$6:$C$19))^(-YEARFRAC($C$3,C52,3))/$C$7","v":0.96705331374443393},{"$f":"(F52/G52-1)/YEARFRAC(B52,C52,3)","v":6.7582828526428509E-2},{"$f":"YEARFRAC(B52,C52,3)","v":0.50410958904109593},{"$f":"H52*E52*I52","v":102207455.74407819},{"$f":"(1+Interpo(D52,'Market Data'!$B$6:$B$19,'Market Data'!$C$6:$C$19))^(-YEARFRAC($C$3,D52,3))","v":0.96456362098415771},{"$f":"K52/$C$7","v":0.96705331374443393},{"$f":"J52*L52","v":98840058.76669839}]
[null,"2024-11-27","2025-05-27",{"$f":"C53","v":"2025-05-27"},{"$f":"$B$3","v":3000000000},{"$f":"(1+Interpo(B53,'Market Data'!$B$6:$B$19,'Market Data'!$C$6:$C$19))^(-YEARFRAC($C$3,B53,3))/$C$7","v":0.96705331374443393},{"$f":"(1+Interpo(C53,'Market Data'!$B$6:$B$19,'Market Data'!$C$6:$C$19))^(-YEARFRAC($C$3,C53,3))/$C$7","v":0.93624670569597046},{"$f":"(F53/G53-1)/YEARFRAC(B53,C53,3)","v":6.6354116369339564E-2},{"$f":"YEARFRAC(B53,C53,3)","v":0.49589041095890413},{"$f":"H53*E53*I53","v":98713110.105620235},{"$f":"(1+Interpo(D53,'Market Data'!$B$6:$B$19,'Market Data'!$C$6:$C$19))^(-YEARFRAC($C$3,D53,3))","v":0.93383632499422997},{"$f":"K53/$C$7","v":0.93624670569597046},{"$f":"J53*L53","v":92419824.145390555}]
[null,"2025-05-27","2025-11-27","2025-11-27",3000000000,{"$f":"(1+Interpo(B54,'Market Data'!$B$6:$B$19,'Market Data'!$C$6:$C$19))^(-YEARFRAC($C$3,B54,3))/$C$7","v":0.93624670569597046},{"$f":"(1+Interpo(C54,'Market Data'!$B$6:$B$19,'Market Data'!$C$6:$C$19))^(-YEARFRAC($C$3,C54,3))/$C$7","v":0.90669026640140682},6.4664839024985182E-2,{"$f":"YEARFRAC(B54,C54,3)","v":0.50410958904109593},{"$f":"H54*E54*I54","v":97794496.278881714},{"$f":"(1+Interpo(D54,'Market Data'!$B$6:$B$19,'Market Data'!$C$6:$C$19))^(-YEARFRAC($C$3,D54,3))","v":0.90435597918064137},0.90669026640140682,88669317.883690655]
[null,"2025-11-27","2026-05-27","2026-05-27",3000000000,{"$f":"(1+Interpo(B55,'Market Data'!$B$6:$B$19,'Market Data'!$C$6:$C$19))^(-YEARFRAC($C$3,B55,3))/$C$7","v":0.90669026640140682},{"$f":"(1+Interpo(C55,'Market Data'!$B$6:$B$19,'Market Data'!$C$6:$C$19))^(-YEARFRAC($C$3,C55,3))/$C$7","v":0.87911179719116161},6.3261624173170591E-2,{"$f":"YEARFRAC(B55,C55,3)","v":0.49589041095890413},{"$f":"H55*E55*I55","v":94112498.427483916},{"$f":"(1+Interpo(D55,'Market Data'!$B$6:$B$19,'Market Data'!$C$6:$C$19))^(-YEARFRAC($C$3,D55,3))","v":0.87684851113874585},0.87911179719116161,82735407.630735755]
[null,null,null,null,null,null,null,null,null,null,null,null,{"$f":"SUM(M52:M55)","v":362664608.42651534}]
[]
[null,"NPV of the swap",{"$f":"-K47+M56","v":0}]
[]
[null,"Step: Swaption valuation"]
[]
[null,"Calculation","Notation","Value"]
[null,"Annuity factor","A(t)",{"$f":"C31","v":1.8400415390969633}]
[null,"Fair forward rate","S(t)",{"$f":"C35","v":6.5529484969824525E-2}]
[null,"Nominal","Notation",{"$f":"B3","v":3000000000}]
[null,"Strike","K",{"$f":"H3","v":6.5000000000000002E-2}]
[null,"Volatility","sigma",{"$f":"I3","v":0.105}]
[null,"Valuation date","t",{"$f":"C3","v":"2024-05-13"}]
[null,"Option maturity","T",{"$f":"E3","v":"2024-05-24"}]
[null,"Yearfrac","(T-t)",{"$f":"YEARFRAC(D68,D69,3)","v":3.0136986301369864E-2}]
[]
[null,"d1",{"$f":"LN(D64/D66)/(D67*SQRT(D70))+0.5*D67*SQRT(D70)","v":0.45419410757225476}]
[null,"d2",{"$f":"C72-D67*SQRT(D70)","v":0.4359660996182132}]
[null,"N(d1)",{"$f":"_xlfn.NORM.S.DIST(C72,TRUE)","v":0.67515543812656875}]
[null,"N(d2)",{"$f":"_xlfn.NORM.S.DIST(C73,TRUE)","v":0.66856933708571575}]
[null,"N'(d1)",{"$f":"_xlfn.NORM.S.DIST(C72,FALSE)","v":0.35984399924432214}]
[null,"N'(d2)",{"$f":"_xlfn.NORM.S.DIST(C73,FALSE)","v":0.36277526061480542}]
[null,"N(-d1)",{"$f":"_xlfn.NORM.S.DIST(-C72,TRUE)","v":0.3248445618734313}]
[null,"N(-d2)",{"$f":"_xlfn.NORM.S.DIST(-C73,TRUE)","v":0.33143066291428419}]
[]
[null,"NPV for swaption",{"$f":"D65*D63*(D64*C74-D66*C75)","v":4336506.2559058787}]
[]
[null,"Step: Greek computation"]
[]
[null,"Greek","Independent value (as %)","Independent Value"]
[null,"Delta",{"$f":"C74*100","v":67.515543812656873},{"$f":"C86%*B3","v":2025466314.3797061}]
[null,"Gamma",{"$f":"C76/(D64*D67*SQRT(D70))","v":301.25780035170379},{"$f":"C87%*B3","v":9037734010.5511131}]
[null,"Vega",{"$f":"D64*SQRT(D70)*C76*D65/100*D63","v":225969.49333444648},{"$f":"C88","v":225969.49333444648}]