The timing for this $100 is calculated as 1/365 in the example.
Since other CFs are not IR-sensitive, their duration should be 0 if I understand the concept of duration correctly. Then can I just use 0 instead of 1/365?
I know the difference is tiny, but I want to confirm which value is conceptually correct.
In cell M47 they have 0.10% which is used for the change in yield, is it reasonable to assume that 0.10% should always be used unless stated otherwise? I see it also notes this at the bottom of page 6 in the source paper, that it should remain small and 10 bps as an example.
Your LIC always starts at the end of the first year for your latest AY. It cannot start at the beginning of the year as you can't have claims for an AY before the year has passed. Also, it states at the top of the table that we are looking at payments starting in 2024 (1 full year has passed from AY 2023)
Comments
Think its just some other miscellaneous Cash Flows
The timing for this $100 is calculated as 1/365 in the example.
Since other CFs are not IR-sensitive, their duration should be 0 if I understand the concept of duration correctly. Then can I just use 0 instead of 1/365?
I know the difference is tiny, but I want to confirm which value is conceptually correct.
Which cell are you looking at? I do not see the $100 being discounted
In cell M47 they have 0.10% which is used for the change in yield, is it reasonable to assume that 0.10% should always be used unless stated otherwise? I see it also notes this at the bottom of page 6 in the source paper, that it should remain small and 10 bps as an example.
yup you can always use 0.1%
Here you go
don't understand why we are 'removing' the first year. There is nothing here that suggests the FCF LIC for AY 23' is a year late.