Summary

This function calculates a high level aggregate sensitivity figure of a fixed income asset. It takes into account shifts in both interest rate and credit curves by combining the effects of several standard sensitivity measures.

Formula

$$ - IRShift\cdot DV01 + 0.5 \cdot \left(IRShift \right)^2 \cdot \frac{Convexity}{\left (10000 \right)^2} + CreditShift \cdot CS01 $$

Examples

=elFixedIncomeShift(A1,B1) or =elFixedIncomeShift(100,3047)

Returns the sensitivity based solely on the assets DV01 (second argument) and the assumed shift in interest rates (first argument).

=elFixedIncomeShift(A1,B1,C1) or =elFixedIncomeShift(100,3047,9205)

Returns the sensitivity taking into account, in addition to the precedent function, the instruments convexity (third argument) with regards to interest rate changes.

=elFixedIncomeShift(A1,B1,C1,D1,E1) or =elFixedIncomeShift(100,3047,9205,100,-2993)

Returns the sensitivity including, in addition to the precedent function, the instruments sensitivity to credit curve shifts (CS01) (fifth argument) and the corresponding assumed shift in the curve (fourth argument).

Syntax

elFixedIncomeShift(IRShift, DV01, Convexity, CreditShift, CS01)
Argument name Description
IRShift The assumed parallel shift in interest rates expressed in basis points (bps).
DV01 The DV01 of the asset: its sensitivity to 1 bp change in interest rates.
Convexity (Optional) The convexity of the asset: measures the non-linearity of the asset interest rate sensitivity.
CreditShift (Optional) The assumed parallel shift in the asset credit curves expressed in basis points (bps).
CS01 (Optional) The CS01 of the asset: its sensitivity to 1 bp change in the credit curve.