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{"sheet":"Variables","index":0,"n_rows":15,"n_cols":6,"rows_kept":15,"cut":false,"hidden":false,"merged":[]}
["Period"]
["Spot"]
["Not callable"]
[]
[]
["Convention","Input"]
[null,"Output"]
[]
["Annual coupon rate",0.1,null,"Spread",0]
["Coupons per year  ",1,null,"Market Bond Price"]
["Bond maturity (years)  ",4,null,"Bullet Bond Price"]
["Steps to maturity",{"$f":"B10*B11*B13","v":4},null,"Call Option Value"]
["Times of cash flow",1]
[]
["Time (year)","Cash flow","Yield (%)","Volatility (%)","Strike price","Callable period"]

{"sheet":"Tree","index":1,"n_rows":0,"n_cols":0,"rows_kept":0,"cut":false,"hidden":false,"merged":[]}

{"sheet":"Convergence","index":2,"n_rows":0,"n_cols":0,"rows_kept":0,"cut":false,"hidden":false,"merged":[]}

{"sheet":"Example","index":3,"n_rows":70,"n_cols":6,"rows_kept":70,"cut":false,"hidden":false,"merged":[]}
["Input data"]
[]
["Annual coupon rate",0.05,null,"Spread",0.01]
["Coupons per year  ",1]
["Bond maturity (years)  ",2,null,"Time increment (dt) = ",{"$f":"B5/B6","v":0.5}]
["Steps to maturity",{"$f":"B4*B5*B7","v":4},null,"Coupon rate (cr) = ",{"$f":"B3/B4*100","v":5}]
["Times of cash flow",2]
[]
["Time (year)","Cash flow","Yield","Volatility","Strike price","Callable period"]
[1,5,0.05,0.2,101,"Period"]
[2,105,0.06,0.19,"Not callable","Not callable"]
[]
["Rate tree"]
[null,null,null,null,4.8163267540616041E-2]
[null,null,null,4.7775532771178811E-2]
[null,null,4.1947231353754395E-2,null,6.3010086172797575E-2]
[null,0.05,null,6.2946508002866677E-2]
[null,null,5.5659631999197094E-2,null,8.2433786928099828E-2]
[null,null,null,8.2934980311621845E-2]
[null,null,null,null,0.10784510290419204]
["Rate tree using the spread"]
[null,null,null,null,{"$f":"E14+$E$3","v":5.8163267540616043E-2}]
[null,null,null,{"$f":"D15+$E$3","v":5.7775532771178813E-2}]
[null,null,{"$f":"C16+$E$3","v":5.1947231353754397E-2},null,{"$f":"E16+$E$3","v":7.301008617279757E-2}]
[null,{"$f":"B17+$E$3","v":6.0000000000000005E-2},null,{"$f":"D17+$E$3","v":7.2946508002866672E-2}]
[null,null,{"$f":"C18+$E$3","v":6.5659631999197096E-2},null,{"$f":"E18+$E$3","v":9.2433786928099823E-2}]
[null,null,null,{"$f":"D19+$E$3","v":9.293498031162184E-2}]
[null,null,null,null,{"$f":"E20+$E$3","v":0.11784510290419203}]
["Discount factor tree using the spread"]
[null,null,null,null,{"$f":"1/(1+E22*$E$5)","v":0.97174020717505194}]
[null,null,null,{"$f":"1/(1+D23*$E$5)","v":0.97192330657495329}]
[null,null,{"$f":"1/(1+C24*$E$5)","v":0.97468393408953169},null,{"$f":"1/(1+E24*$E$5)","v":0.96478064112674489}]
[null,{"$f":"1/(1+B25*$E$5)","v":0.970873786407767},null,{"$f":"1/(1+D25*$E$5)","v":0.96481023136812849}]
[null,null,{"$f":"1/(1+C26*$E$5)","v":0.96821372166931008},null,{"$f":"1/(1+E26*$E$5)","v":0.95582474938726647}]
[null,null,null,{"$f":"1/(1+D27*$E$5)","v":0.95559585883657772}]
[null,null,null,null,{"$f":"1/(1+E28*$E$5)","v":0.94435612748893139}]
["Zero coupon bond price using the spread"]
[null,null,null,null,null,100]
[null,null,null,null,{"$f":"0.5*(F38+F40)*E30","v":97.174020717505201}]
[null,null,null,{"$f":"0.5*(E39+E41)*D31","v":94.107487306640792},null,100]
[null,null,{"$f":"0.5*(D40+D42)*C32","v":91.015242016171825},null,{"$f":"0.5*(F40+F42)*E32","v":96.478064112674488}]
[null,{"$f":"0.5*(C41+C43)*B33","v":87.29145759100065},null,{"$f":"0.5*(E41+E43)*D33","v":92.650986559434898},null,100]
[null,null,{"$f":"0.5*(D42+D44)*C34","v":88.805160621289517},null,{"$f":"0.5*(F42+F44)*E34","v":95.582474938726648}]
[null,null,null,{"$f":"0.5*(E43+E45)*D35","v":90.790248849167583},null,100]
[null,null,null,null,{"$f":"0.5*(F44+F46)*E36","v":94.435612748893135}]
[null,null,null,null,null,100]
["Coupon paying bond price using the spread"]
[null,null,null,null,null,{"$f":"100+$E$6","v":105}]
[null,null,null,null,{"$f":"0.5*(F48+F50)*E30","v":102.03272175338046}]
[null,null,null,{"$f":"0.5*(E49+E51)*D31+$E$6","v":103.81286167197284},null,{"$f":"100+$E$6","v":105}]
[null,null,{"$f":"0.5*(D50+D52)*C32","v":100.43942378742808},null,{"$f":"0.5*(F50+F52)*E32","v":101.30196731830821}]
[null,{"$f":"0.5*(C51+C53)*B33","v":96.371801479674104},null,{"$f":"0.5*(E51+E53)*D33+$E$6","v":102.28353588740666},null,{"$f":"100+$E$6","v":105}]
[null,null,{"$f":"0.5*(D52+D54)*C34","v":98.086487260700551},null,{"$f":"0.5*(F52+F54)*E34","v":100.36159868566298}]
[null,null,null,{"$f":"0.5*(E53+E55)*D35+$E$6","v":100.32976129162597},null,{"$f":"100+$E$6","v":105}]
[null,null,null,null,{"$f":"0.5*(F54+F56)*E36","v":99.157393386337802}]
[null,null,null,null,null,{"$f":"100+$E$6","v":105}]
[]
["Callable coupon paying bond price using the spread"]
[null,null,null,null,null,{"$f":"100+$E$6","v":105}]
[null,null,null,null,{"$f":"MIN((0.5*(F59+F61)*E30),$E$10)","v":101}]
[null,null,null,{"$f":"MIN((0.5*(E60+E62)*D31+$E$6),$E$10)","v":101},null,{"$f":"100+$E$6","v":105}]
[null,null,{"$f":"0.5*(D61+D63)*C32","v":98.443077343042702},null,{"$f":"MIN((0.5*(F61+F63)*E32),$E$10)","v":101}]
[null,{"$f":"0.5*(C62+C64)*B33","v":95.101066055593307},null,{"$f":"MIN((0.5*(E62+E64)*D33+$E$6),$E$10)","v":101},null,{"$f":"100+$E$6","v":105}]
[null,null,{"$f":"0.5*(D63+D65)*C34","v":97.465118731479492},null,{"$f":"MIN((0.5*(F63+F65)*E34),$E$10)","v":100.36159868566298}]
[null,null,null,{"$f":"MIN((0.5*(E64+E66)*D35+$E$6),$E$10)","v":100.32976129162597},null,{"$f":"100+$E$6","v":105}]
[null,null,null,null,{"$f":"MIN((0.5*(F65+F67)*E36),$E$10)","v":99.157393386337802}]
[null,null,null,null,null,{"$f":"100+$E$6","v":105}]
[]
["Call option value"]
[null,{"$f":"B52-B63","v":1.2707354240807973}]