Modeling Exercises 11 Oct 2014

8/10/2019 Modeling Exercises 11 Oct 2014

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Modeling - Financial ModelingExcel, VBA

Skill Little abstractLogic Practical stuff Flow Doing, very little talking, lecturing

5 min, 50 min, 15 min - Talk, Work, Present

Tax model - very little past knowledge required

MIN 5 6 9 5

MAX 15 6 9 15

IFLead you to branches (basic modules of decision making)

GreatNested Ifs

Dont change column sizesDont use wrap textDont use merge and centerDont change row heights unless reaaaaaally required

Dont enter hard numbers unless reaaaaaally requiredUse formula as much as possible

1 Learn good use of Excel in modelingTax modelFinancial statements model To strengthen your conceptual base


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2 VBA

3 Financial instruments modelingShare pricesOptionsBinomial models


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Financial ModelingGive you a small caselet, ask you to work, provide you with

the solutionOne right solution - but million right ways to doing it

No theory, no strategy, no vision, no missionSimple hard work

5 min, 50 min, 15 min

1 Dont know Excel Mastering the basics - needs h2 Too much of Excel / VBA Forget the objective, get lost

ThoughtTwo caselets Skill1 Financial statements Flow2 Tax modeling

VBA Basics

Financial instruments modeling1 Options

2 Share price paths3 Binomial trees

1 Numbers need a format2 Hard numbers should be rare rare rare in the worksheet

Unless really compelled, dont use numbersUse formula

3 Within a formula, dont use hard numbers - bad practice4 Dont use wrap text, dont use merge and center - wrong thi5 Dont use several row heights6 Dont change width of columns7 Use appropriate file names


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he objective, you come up with

elp in the technique

ngs


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Financial Year 1 2 3 4

Corporate Tax Rate 30.00% 10% 3% 33.99%

MAT Tax Rate 18.50% 10% 3% 20.96%

MAT Carry Forward allowed for (years) 10

PBT as given - (2.59) (4.50) (4.75) PBT Sensitivity 100%Profit Before Tax (PBT) - (2.59) (4.50) (4.75) Book Depreciation - - - - Tax Depreciation - - - -


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5 6 7 8 9 10 11

of Taxable Income

of PBTHigher of the two

388.78 394.39 408.28 420.50 433.46 446.33 460.03

388.78 394.39 408.28 420.50 433.46 446.33 460.03 205.89 244.98 245.65 244.98 244.98 244.98 245.65 614.34 639.01 544.64 461.46 392.24 333.40 284.17


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12 13 14 15 16 17 18

471.73 484.28 496.70 510.04 521.07 509.68 463.68

471.73 484.28 496.70 510.04 521.07 509.68 463.68 244.98 244.98 244.98 245.65 244.98 244.98 244.98 240.77 204.65 173.96 148.27 125.62 106.78 90.76


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19 20 21 22 23 24 25

451.61 437.91 424.56 560.58 583.51 568.08 553.28

451.61 437.91 424.56 560.58 583.51 568.08 553.28 245.65 244.98 244.98 64.63 21.39 21.33 21.33

77.36 65.54 55.71 47.36 40.36 34.20 29.07


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26 27 28 29 30

485.62 422.10 410.04 401.29 106.85

485.62 422.10 410.04 401.29 106.85 21.33 21.39 21.33 21.33 3.46 24.71 21.06 17.84 15.17 2.07


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Retail Store ProjectRs cr

Deposit for Premises 10

Fit outs 12Inventories 25Other Current Assets 3Cash Balance 2

52

Sales in month one 7Growth in sales every month 2% 102%Forecast period (months) 60

Cost of Goods as a % of Sales 70%Fixed SGA 1.5Variable SGA as a % of Sales 3%Day 1 Capital Structure Equity:Debt 50:50Day 1 Short Term : Long Term Debt 25:75Long Term Debt tenor - months 60 Repayable in equal monthly instalmentsInventory Level - months of forecasted COGS 5Receivables level - days of past Sales 3

Life of Fitouts - months 60Vendor Payables - months 1Interest Rate 10%Yield on Excess Cash 6%Tax Rate 30.90%

Months SUM 60M 1 2 3

Profit & LossSales Revenue 798.36 7.00 7.14 7.28 COGS 558.85 4.90 5.00 5.10 Variable SGA 23.95 0.21 0.21 0.22 Fixed SGA 90.00 1.50 1.50 1.50 EBIDTA 125.56 0.39 0.43 0.47 Depreciation 12.00 0.20 0.20 0.20


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EBIT 113.56 0.19 0.23 0.27 Interest - Long Term Debt 4.96 0.16 0.16 0.16 Interest - Short Term Debt 2.77 0.05 0.02 0.03 Interest Income - Treasury (0.41) - - - PBT 106.25 0.03- 0.05 0.08

Tax 32.83 0.01- 0.01 0.02 PAT 73.42 0.02- 0.03 0.06

Balance Sheet 0 1 2 3LiabilitiesShare Capital 26.00 26.00 26.00 26.00 Reserves - (0.02) 0.01 0.07 Shareholders Funds 26.00 25.98 26.01 26.07

Long Term Loans 19.50 19.18 18.85 18.53 Short Term Loans 6.50 2.44 3.46 3.97 Vendor Payables - 5.91 5.52 5.63 Total Liabilities 52.00 53.51 53.84 54.19

AssetsDeposit for Premises 10.00 10.00 10.00 10.00 Fit Outs 12.00 11.80 11.60 11.40

Inventories 25.00 26.01 26.53 27.06 Receivables - 0.70 0.71 0.73 Other Curent Assets 3.00 3.00 3.00 3.00 Cash Balance 2.00 2.00 2.00 2.00 Excess Cash / Treasury - - - - Total Assets 52.00 53.51 53.84 54.19

Control Check - - - -

Short Term Loans/Treasury 226.84 2.44 3.46 3.97

Cash Flow StatementSend you the template on emailBuild some control checks


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Key MetricsThis is an intended project, not yet off the groundYou may take the leap, you may not, depends on key metricsWhat can help, hurtWhat can make it a great success, a abysmal failure

What is the extent of help or hurt - quantificationWhat are the outputs which you would seek - thinkWhat are the key inputs

Long Term DebtOpening Balance 19.50 19.18 18.85 Repayments 0.33 0.33 0.33 Closing Balance 19.50 19.18 18.85 18.53

Interest 0.16 0.16 0.16

We assume that repayments are effected at the month end

Vendor Payables

COGS leads you to InventoriesInventories lead you to PurchasesPurchases lead you to Payments

Payments lead you to Vendor Payables

Inventories and PurchasesClosing Inventories 26.01 26.53 27.06 COGS 4.90 5.00 5.10 Sub Total 30.91 31.53 32.16 Less : Opening Inventories 25.00 26.01 26.53 Purchases 5.91 5.52 5.63

As Vendor Payables are 1 month, the Payables at each month will be t

Work to doCan you separate the short term into pure short term loan (liability) a


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Equity Debt50% 50% 26.00 26.00 25% 75% 6.50 Short Term

19.50 Long Term

4 5 6 7 8 9 10

7.43 7.58 7.73 7.88 8.04 8.20 8.37 5.20 5.30 5.41 5.52 5.63 5.74 5.86 0.22 0.23 0.23 0.24 0.24 0.25 0.25 1.50 1.50 1.50 1.50 1.50 1.50 1.50 0.51 0.55 0.59 0.63 0.67 0.71 0.76 0.20 0.20 0.20 0.20 0.20 0.20 0.20


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0.31 0.35 0.39 0.43 0.47 0.51 0.56 0.15 0.15 0.15 0.15 0.14 0.14 0.14 0.03 0.04 0.04 0.04 0.05 0.05 0.06

- - - - - - - 0.12 0.16 0.20 0.24 0.28 0.32 0.37

0.04 0.05 0.06 0.07 0.09 0.10 0.11 0.08 0.11 0.14 0.16 0.19 0.22 0.25

4 5 6 7 8 9 10

26.00 26.00 26.00 26.00 26.00 26.00 26.00 0.15 0.26 0.40 0.56 0.75 0.98 1.23

26.15 26.26 26.40 26.56 26.75 26.98 27.23

18.20 17.88 17.55 17.23 16.90 16.58 16.25 4.45 4.92 5.37 5.80 6.21 6.61 6.98 5.74 5.86 5.97 6.09 6.21 6.34 6.47

54.54 54.91 55.29 55.68 56.08 56.49 56.92

10.00 10.00 10.00 10.00 10.00 10.00 10.00 11.20 11.00 10.80 10.60 10.40 10.20 10.00

27.60 28.15 28.72 29.29 29.88 30.47 31.08 0.74 0.76 0.77 0.79 0.80 0.82 0.84 3.00 3.00 3.00 3.00 3.00 3.00 3.00 2.00 2.00 2.00 2.00 2.00 2.00 2.00

- - - - - - - 54.54 54.91 55.29 55.68 56.08 56.49 56.92

- - - - - - -

4.45 4.92 5.37 5.80 6.21 6.61 6.98


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18.53 18.20 17.88 17.55 17.23 16.90 16.58 0.33 0.33 0.33 0.33 0.33 0.33 0.33

18.20 17.88 17.55 17.23 16.90 16.58 16.25

0.15 0.15 0.15 0.15 0.14 0.14 0.14

Opening Stock + Purchases - COGS = Closing StockOR : Purchases = Closing Stock + COGS - Opening Stock

27.60 28.15 28.72 29.29 29.88 30.47 31.08 5.20 5.30 5.41 5.52 5.63 5.74 5.86

32.80 33.46 34.13 34.81 35.51 36.22 36.94 27.06 27.60 28.15 28.72 29.29 29.88 30.47

5.74 5.86 5.97 6.09 6.21 6.34 6.47

e same as Purchases of that month

d treasury investment (asset)


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11 12 13 14 15 16 17

8.53 8.70 8.88 9.06 9.24 9.42 9.61 5.97 6.09 6.21 6.34 6.47 6.59 6.73 0.26 0.26 0.27 0.27 0.28 0.28 0.29 1.50 1.50 1.50 1.50 1.50 1.50 1.50 0.80 0.85 0.90 0.94 0.99 1.04 1.09 0.20 0.20 0.20 0.20 0.20 0.20 0.20


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0.60 0.65 0.70 0.74 0.79 0.84 0.89 0.14 0.13 0.13 0.13 0.12 0.12 0.12 0.06 0.06 0.06 0.07 0.07 0.07 0.07

- - - - - - - 0.41 0.46 0.50 0.55 0.60 0.65 0.70

0.13 0.14 0.16 0.17 0.19 0.20 0.22 0.28 0.32 0.35 0.38 0.41 0.45 0.49

11 12 13 14 15 16 17

26.00 26.00 26.00 26.00 26.00 26.00 26.00 1.51 1.83 2.17 2.56 2.97 3.42 3.91

27.51 27.83 28.17 28.56 28.97 29.42 29.91

15.93 15.60 15.28 14.95 14.63 14.30 13.98 7.33 7.66 7.96 8.25 8.51 8.75 8.96 6.59 6.73 6.86 7.00 7.14 7.28 7.43

57.36 57.81 58.27 58.75 59.24 59.75 60.27

10.00 10.00 10.00 10.00 10.00 10.00 10.00 9.80 9.60 9.40 9.20 9.00 8.80 8.60

31.71 32.34 32.99 33.65 34.32 35.01 35.71 0.85 0.87 0.89 0.91 0.92 0.94 0.96 3.00 3.00 3.00 3.00 3.00 3.00 3.00 2.00 2.00 2.00 2.00 2.00 2.00 2.00

- - - - - - - 57.36 57.81 58.27 58.75 59.24 59.75 60.27

- - - - - - -

7.33 7.66 7.96 8.25 8.51 8.75 8.96


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16.25 15.93 15.60 15.28 14.95 14.63 14.30 0.33 0.33 0.33 0.33 0.33 0.33 0.33

15.93 15.60 15.28 14.95 14.63 14.30 13.98

0.14 0.13 0.13 0.13 0.12 0.12 0.12

31.71 32.34 32.99 33.65 34.32 35.01 35.71 5.97 6.09 6.21 6.34 6.47 6.59 6.73

37.68 38.43 39.20 39.99 40.78 41.60 42.43 31.08 31.71 32.34 32.99 33.65 34.32 35.01

6.59 6.73 6.86 7.00 7.14 7.28 7.43


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18 19 20 21 22 23 24

9.80 10.00 10.20 10.40 10.61 10.82 11.04 6.86 7.00 7.14 7.28 7.43 7.58 7.73 0.29 0.30 0.31 0.31 0.32 0.32 0.33 1.50 1.50 1.50 1.50 1.50 1.50 1.50 1.15 1.20 1.25 1.31 1.36 1.42 1.48 0.20 0.20 0.20 0.20 0.20 0.20 0.20


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0.95 1.00 1.05 1.11 1.16 1.22 1.28 0.12 0.11 0.11 0.11 0.11 0.10 0.10 0.07 0.08 0.08 0.08 0.08 0.08 0.08

- - - - - - - 0.76 0.81 0.86 0.92 0.98 1.04 1.10

0.23 0.25 0.27 0.28 0.30 0.32 0.34 0.52 0.56 0.60 0.64 0.68 0.72 0.76

18 19 20 21 22 23 24

26.00 26.00 26.00 26.00 26.00 26.00 26.00 4.43 4.99 5.58 6.22 6.90 7.62 8.38

30.43 30.99 31.58 32.22 32.90 33.62 34.38

13.65 13.33 13.00 12.68 12.35 12.03 11.70 9.15 9.31 9.45 9.55 9.64 9.69 9.71 7.58 7.73 7.88 8.04 8.20 8.36 8.53

60.80 61.35 61.91 62.49 63.08 63.69 64.32

10.00 10.00 10.00 10.00 10.00 10.00 10.00 8.40 8.20 8.00 7.80 7.60 7.40 7.20

36.42 37.15 37.89 38.65 39.42 40.21 41.01 0.98 1.00 1.02 1.04 1.06 1.08 1.10 3.00 3.00 3.00 3.00 3.00 3.00 3.00 2.00 2.00 2.00 2.00 2.00 2.00 2.00

- - - - - - - 60.80 61.35 61.91 62.49 63.08 63.69 64.32

- - - - - - -

9.15 9.31 9.45 9.55 9.64 9.69 9.71


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13.98 13.65 13.33 13.00 12.68 12.35 12.03 0.33 0.33 0.33 0.33 0.33 0.33 0.33

13.65 13.33 13.00 12.68 12.35 12.03 11.70

0.12 0.11 0.11 0.11 0.11 0.10 0.10

36.42 37.15 37.89 38.65 39.42 40.21 41.01 6.86 7.00 7.14 7.28 7.43 7.58 7.73

43.28 44.15 45.03 45.93 46.85 47.79 48.74 35.71 36.42 37.15 37.89 38.65 39.42 40.21

7.58 7.73 7.88 8.04 8.20 8.36 8.53


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25 26 27 28 29 30 31

11.26 11.48 11.71 11.95 12.19 12.43 12.68 7.88 8.04 8.20 8.36 8.53 8.70 8.88 0.34 0.34 0.35 0.36 0.37 0.37 0.38 1.50 1.50 1.50 1.50 1.50 1.50 1.50 1.54 1.60 1.66 1.73 1.79 1.86 1.92 0.20 0.20 0.20 0.20 0.20 0.20 0.20


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1.34 1.40 1.46 1.53 1.59 1.66 1.72 0.10 0.09 0.09 0.09 0.09 0.08 0.08 0.08 0.08 0.08 0.08 0.08 0.08 0.08

- - - - - - - 1.16 1.23 1.29 1.36 1.42 1.49 1.57

0.36 0.38 0.40 0.42 0.44 0.46 0.48 0.80 0.85 0.89 0.94 0.98 1.03 1.08

25 26 27 28 29 30 31

26.00 26.00 26.00 26.00 26.00 26.00 26.00 9.18 10.02 10.92 11.85 12.84 13.87 14.95

35.18 36.02 36.92 37.85 38.84 39.87 40.95

11.38 11.05 10.73 10.40 10.08 9.75 9.43 9.71 9.67 9.60 9.50 9.37 9.20 9.00 8.70 8.88 9.05 9.23 9.42 9.61 9.80

64.96 65.62 66.30 66.99 67.70 68.43 69.18

10.00 10.00 10.00 10.00 10.00 10.00 10.00 7.00 6.80 6.60 6.40 6.20 6.00 5.80

41.84 42.67 43.53 44.40 45.28 46.19 47.11 1.13 1.15 1.17 1.19 1.22 1.24 1.27 3.00 3.00 3.00 3.00 3.00 3.00 3.00 2.00 2.00 2.00 2.00 2.00 2.00 2.00

- - - - - - - 64.96 65.62 66.30 66.99 67.70 68.43 69.18

- - - - - - -

9.71 9.67 9.60 9.50 9.37 9.20 9.00


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11.70 11.38 11.05 10.73 10.40 10.08 9.75 0.33 0.33 0.33 0.33 0.33 0.33 0.33

11.38 11.05 10.73 10.40 10.08 9.75 9.43

0.10 0.09 0.09 0.09 0.09 0.08 0.08

41.84 42.67 43.53 44.40 45.28 46.19 47.11 7.88 8.04 8.20 8.36 8.53 8.70 8.88

49.72 50.71 51.73 52.76 53.81 54.89 55.99 41.01 41.84 42.67 43.53 44.40 45.28 46.19

8.70 8.88 9.05 9.23 9.42 9.61 9.80


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32 33 34 35 36 37 38

12.93 13.19 13.46 13.72 14.00 14.28 14.56 9.05 9.23 9.42 9.61 9.80 10.00 10.20 0.39 0.40 0.40 0.41 0.42 0.43 0.44 1.50 1.50 1.50 1.50 1.50 1.50 1.50 1.99 2.06 2.13 2.21 2.28 2.36 2.43 0.20 0.20 0.20 0.20 0.20 0.20 0.20


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1.79 1.86 1.93 2.01 2.08 2.16 2.23 0.08 0.08 0.07 0.07 0.07 0.07 0.06 0.08 0.07 0.07 0.07 0.07 0.06 0.06

- - - - - - - 1.64 1.71 1.79 1.87 1.95 2.03 2.11

0.51 0.53 0.55 0.58 0.60 0.63 0.65 1.13 1.18 1.24 1.29 1.35 1.40 1.46

32 33 34 35 36 37 38

26.00 26.00 26.00 26.00 26.00 26.00 26.00 16.08 17.27 18.50 19.79 21.14 22.54 24.00 42.08 43.27 44.50 45.79 47.14 48.54 50.00

9.10 8.78 8.45 8.13 7.80 7.48 7.15 8.77 8.50 8.19 7.84 7.46 7.03 6.57 10.00 10.20 10.40 10.61 10.82 11.04 11.26 69.95 70.74 71.54 72.37 73.22 74.08 74.97

10.00 10.00 10.00 10.00 10.00 10.00 10.00 5.60 5.40 5.20 5.00 4.80 4.60 4.40

48.06 49.02 50.00 51.00 52.02 53.06 54.12 1.29 1.32 1.35 1.37 1.40 1.43 1.46 3.00 3.00 3.00 3.00 3.00 3.00 3.00 2.00 2.00 2.00 2.00 2.00 2.00 2.00

- - - - - - - 69.95 70.74 71.54 72.37 73.22 74.08 74.97

- - - - - - -

8.77 8.50 8.19 7.84 7.46 7.03 6.57


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9.43 9.10 8.78 8.45 8.13 7.80 7.48 0.33 0.33 0.33 0.33 0.33 0.33 0.33 9.10 8.78 8.45 8.13 7.80 7.48 7.15

0.08 0.08 0.07 0.07 0.07 0.07 0.06

48.06 49.02 50.00 51.00 52.02 53.06 54.12 9.05 9.23 9.42 9.61 9.80 10.00 10.20

57.11 58.25 59.42 60.60 61.82 63.05 64.31 47.11 48.06 49.02 50.00 51.00 52.02 53.06 10.00 10.20 10.40 10.61 10.82 11.04 11.26


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39 40 41 42 43 44 45

14.86 15.15 15.46 15.77 16.08 16.40 16.73 10.40 10.61 10.82 11.04 11.26 11.48 11.71

0.45 0.45 0.46 0.47 0.48 0.49 0.50 1.50 1.50 1.50 1.50 1.50 1.50 1.50 2.51 2.59 2.67 2.76 2.84 2.93 3.02 0.20 0.20 0.20 0.20 0.20 0.20 0.20


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2.31 2.39 2.47 2.56 2.64 2.73 2.82 0.06 0.06 0.05 0.05 0.05 0.05 0.04 0.05 0.05 0.05 0.04 0.04 0.03 0.02

- - - - - - - 2.20 2.28 2.37 2.46 2.56 2.65 2.75

0.68 0.71 0.73 0.76 0.79 0.82 0.85 1.52 1.58 1.64 1.70 1.77 1.83 1.90

39 40 41 42 43 44 45

26.00 26.00 26.00 26.00 26.00 26.00 26.00 25.52 27.10 28.74 30.44 32.21 34.04 35.94 51.52 53.10 54.74 56.44 58.21 60.04 61.94

6.83 6.50 6.18 5.85 5.53 5.20 4.88 6.06 5.51 4.92 4.28 3.60 2.87 2.09 11.48 11.71 11.95 12.18 12.43 12.68 12.93 75.89 76.82 77.78 78.76 79.76 80.79 81.84

10.00 10.00 10.00 10.00 10.00 10.00 10.00 4.20 4.00 3.80 3.60 3.40 3.20 3.00

55.20 56.30 57.43 58.58 59.75 60.95 62.16 1.49 1.52 1.55 1.58 1.61 1.64 1.67 3.00 3.00 3.00 3.00 3.00 3.00 3.00 2.00 2.00 2.00 2.00 2.00 2.00 2.00

- - - - - - - 75.89 76.82 77.78 78.76 79.76 80.79 81.84

- - - - - - -

6.06 5.51 4.92 4.28 3.60 2.87 2.09


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7.15 6.83 6.50 6.18 5.85 5.53 5.20 0.33 0.33 0.33 0.33 0.33 0.33 0.33 6.83 6.50 6.18 5.85 5.53 5.20 4.88

0.06 0.06 0.05 0.05 0.05 0.05 0.04

55.20 56.30 57.43 58.58 59.75 60.95 62.16 10.40 10.61 10.82 11.04 11.26 11.48 11.71 65.60 66.91 68.25 69.62 71.01 72.43 73.88 54.12 55.20 56.30 57.43 58.58 59.75 60.95 11.48 11.71 11.95 12.18 12.43 12.68 12.93


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46 47 48 49 50 51 52

17.06 17.41 17.75 18.11 18.47 18.84 19.22 11.95 12.18 12.43 12.68 12.93 13.19 13.45

0.51 0.52 0.53 0.54 0.55 0.57 0.58 1.50 1.50 1.50 1.50 1.50 1.50 1.50 3.11 3.20 3.29 3.39 3.49 3.59 3.69 0.20 0.20 0.20 0.20 0.20 0.20 0.20


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2.91 3.00 3.09 3.19 3.29 3.39 3.49 0.04 0.04 0.04 0.03 0.03 0.03 0.02 0.02 0.01 0.00 - - - -

- - - (0.00) (0.01) (0.01) (0.02) 2.85 2.95 3.06 3.16 3.27 3.37 3.48

0.88 0.91 0.94 0.98 1.01 1.04 1.08 1.97 2.04 2.11 2.18 2.26 2.33 2.41

46 47 48 49 50 51 52

26.00 26.00 26.00 26.00 26.00 26.00 26.00 37.91 39.95 42.06 44.24 46.50 48.83 51.24 63.91 65.95 68.06 70.24 72.50 74.83 77.24

4.55 4.23 3.90 3.58 3.25 2.93 2.60 1.27 0.39 - - - - - 13.19 13.45 13.72 14.00 14.28 14.56 14.85 82.91 84.02 85.68 87.81 90.02 92.32 94.69

10.00 10.00 10.00 10.00 10.00 10.00 10.00 2.80 2.60 2.40 2.20 2.00 1.80 1.60

63.41 64.68 65.97 67.29 68.63 70.01 71.41 1.71 1.74 1.78 1.81 1.85 1.88 1.92 3.00 3.00 3.00 3.00 3.00 3.00 3.00 2.00 2.00 2.00 2.00 2.00 2.00 2.00

- - 0.53 1.51 2.54 3.62 4.76 82.91 84.02 85.68 87.81 90.02 92.32 94.69

- - - - - - -

1.27 0.39 (0.53) (1.51) (2.54) (3.62) (4.76)


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4.88 4.55 4.23 3.90 3.58 3.25 2.93 0.33 0.33 0.33 0.33 0.33 0.33 0.33 4.55 4.23 3.90 3.58 3.25 2.93 2.60

0.04 0.04 0.04 0.03 0.03 0.03 0.02

63.41 64.68 65.97 67.29 68.63 70.01 71.41 11.95 12.18 12.43 12.68 12.93 13.19 13.45 75.35 76.86 78.40 79.97 81.57 83.20 84.86 62.16 63.41 64.68 65.97 67.29 68.63 70.01 13.19 13.45 13.72 14.00 14.28 14.56 14.85


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53 54 55 56 57 58 59

19.60 19.99 20.39 20.80 21.22 21.64 22.08 13.72 14.00 14.28 14.56 14.85 15.15 15.45

0.59 0.60 0.61 0.62 0.64 0.65 0.66 1.50 1.50 1.50 1.50 1.50 1.50 1.50 3.79 3.90 4.01 4.12 4.23 4.34 4.46 0.20 0.20 0.20 0.20 0.20 0.20 0.20


35/125

3.59 3.70 3.81 3.92 4.03 4.14 4.26 0.02 0.02 0.02 0.01 0.01 0.01 0.01

- - - - - - - (0.02) (0.03) (0.04) (0.04) (0.05) (0.06) (0.06) 3.59 3.71 3.83 3.95 4.07 4.19 4.32

1.11 1.15 1.18 1.22 1.26 1.30 1.33 2.48 2.56 2.64 2.73 2.81 2.90 2.98

53 54 55 56 57 58 59

26.00 26.00 26.00 26.00 26.00 26.00 26.00 53.72 56.28 58.93 61.65 64.46 67.36 70.34 79.72 82.28 84.93 87.65 90.46 93.36 96.34

2.28 1.95 1.63 1.30 0.98 0.65 0.33 - - - - - - - 15.15 15.45 15.76 16.08 16.40 16.73 17.06 97.14 99.68 102.31 105.03 107.84 110.74 113.73

10.00 10.00 10.00 10.00 10.00 10.00 10.00 1.40 1.20 1.00 0.80 0.60 0.40 0.20

72.84 74.29 75.78 77.29 78.84 80.42 82.03 1.96 2.00 2.04 2.08 2.12 2.16 2.21 3.00 3.00 3.00 3.00 3.00 3.00 3.00 2.00 2.00 2.00 2.00 2.00 2.00 2.00 5.95 7.19 8.49 9.86 11.27 12.75 14.30

97.14 99.68 102.31 105.03 107.84 110.74 113.73

- - - - - - -

(5.95) (7.19) (8.49) (9.86) (11.27) (12.75) (14.30)


36/125

2.60 2.28 1.95 1.63 1.30 0.98 0.65 0.33 0.33 0.33 0.33 0.33 0.33 0.33 2.28 1.95 1.63 1.30 0.98 0.65 0.33

0.02 0.02 0.02 0.01 0.01 0.01 0.01

72.84 74.29 75.78 77.29 78.84 80.42 82.03 13.72 14.00 14.28 14.56 14.85 15.15 15.45 86.56 88.29 90.05 91.86 93.69 95.57 97.48 71.41 72.84 74.29 75.78 77.29 78.84 80.42 15.15 15.45 15.76 16.08 16.40 16.73 17.06


37/125

60 61 62 63 64 65 66

Not real, only for selective usage22.52 22.97 23.43 23.90 24.37 24.86 25.36 15.76 16.08 16.40 16.73 17.06 17.40 17.75

0.68 0.69 0.70 0.72 0.73 0.75 0.76 1.50 1.50 1.50 1.50 1.50 1.50 1.50 4.58 4.70 4.83 4.95 5.08 5.21 5.35 0.20 0.20 0.20 0.20 0.20 0.20 0.20


38/125

4.38 4.50 4.63 4.75 4.88 5.01 5.15 0.00 - - - - - -

- (0.07) 4.45 4.50 4.63 4.75 4.88 5.01 5.15

1.37 1.39 1.43 1.47 1.51 1.55 1.59 3.07 3.11 3.20 3.28 3.37 3.46 3.56

60 61 62 63 64 65 66Not real, only for selective usage

26.00 26.00 26.00 26.00 26.00 26.00 26.00 73.42 76.53 79.72 83.01 86.38 89.84 93.40 99.42 102.53 105.72 109.01 112.38 115.84 119.40

0.00 - - - - - - - 17.40

116.82

10.00 0.00

83.67 2.25 3.00 2.00

15.90 116.82

-

(15.90)


39/125


40/125

CASELET ONEPROJECTION OF INVENTORIESProjected Cost of Goods Sold of several months are provided belowMonth 1 2 3 4 5COGS Rs cr 81 45 65 83 91

The management wants to project inventories at the end of month oneThis inventory level could range from 1 month to 8 months - do not allCreate a model where the user will define the number of months and ythe Inventory Rs CrThere are at least three functions available in Excel to get what you wSo, please provide at least three solutions to the problem

CASELET TWOType Income Slabs - depend on type of taxpayerMale 0 200000 500000 1000000 50000000Female 0 225000 525000 1025000 50000000Senior 0 350000 600000 1200000 50000000

Tax Rates 0% 10% 20% 30%

Work out a model where the tax to be paid gets computed for each typfor various levels of income upto Rs 5 cr

CASELET THREEThis company is not able to work out the average selling price of its prPlease help

Location A B CSales Revenue 10 30 40Units Sold 2 3 0Selling Price 5 10 #DIV/0!Average Selling Price #DIV/0!


41/125

CASELET FOUR Selling Price is determined based on order volume as per the followingUnits Price

1 15100 10150 9200 8

50000 7

For various order sizes, work out the selling price using a modelYour boss has had severe challenges in deciphering IF functions writtencolleagues - so he has prohibited the use of IF function in this solution

CASELET FIVEFurther work on the tax model

1 We have modeled the MAT carry forward as 10 years, a fixedWhat if we want to paramterize this number so that it could

2 In our regular tax, we have assumed that there is no restrictiBut in reality, there is a limit of 8 years beyond which busine

3 There is a section 80-IA in the law which allows you a deductincome) for 10 years - such that your taxable income for reg

MAT applies (10 years is consecutive)This section allows you to choose these 10 years as you woulstarting from the year in which you start commercial producWhich is the optimal set of 10 years such that I pay min tax

CASELET SIXFurther work on the retail model

1 We wish to paramterize the inventories months (instead of aAssume that inventories months can vary from 1 month to 8

2 We wish to parameterize the vendors payable monthsAssume that vendors payable months can vary from 1 monthof half months

3 Generate a Cash Flow Statement for each month (Indirect M4 Generate a Cash Flow Statement for each month (Direct Met


42/125


43/125


44/125

Nifty Develop a model which will w960 Buy when the Nifty goes abov974 Sell when the Nifty goes belo965 Then paramterize these 200, 1972 The model should provide:968 Daily buy signals964 Daily sells signals968 Keep track of costs, sales, pro982 Keep track of cash flows978 Compute the NPV at say 20% d991

1,000 DMA

1,007 Price > x days DMA - Buy1,016 Price < y days DMA - Sell1,011 1,021 No of transactinos1,036 No of profit trn1,046 No of loss trn1,052 Average profit per trn1,038 Av loss per trn

1,044 Max drawdown1,051 1,057 1,052 1,083 1,086 1,093 1,101 1,089 1,086 1,107 1,117 1,126 1,134 1,132


45/125

1,134 1,146 1,139 1,141 1,146 1,146 1,162 1,161 1,172 1,159 1,169 1,152 1,140

1,115 1,110 1,120 1,136 1,163 1,169 1,175 1,183

1,186 1,196 1,204 1,184 1,171 1,200 1,223 1,234 1,235 1,247 1,248 1,286 1,281 1,288 1,302


46/125

1,312 1,270 1,319 1,340 1,341 1,357 1,376 1,387 1,359 1,373 1,398 1,418 1,407

1,410 1,406 1,372 1,330 1,358 1,341 1,303 1,319

1,303 1,325 1,371 1,358 1,387 1,401 1,417 1,421 1,449 1,479 1,478 1,488 1,507 1,523 1,549


47/125

1,521 1,537 1,565 1,570 1,546 1,507 1,495 1,486 1,506 1,522 1,485 1,481 1,499

1,517 1,557 1,601 1,619 1,611 1,612 1,604 1,595

1,601 1,610 1,577 1,550 1,563 1,579 1,564 1,543 1,520 1,541 1,544 1,569 1,599 1,616 1,658


48/125

1,661 1,671 1,676 1,645 1,646 1,676 1,688 1,696 1,700 1,724 1,736 1,733 1,757

1,779 1,789 1,788 1,805 1,838 1,879 1,869 1,880

1,912 1,946 1,955 1,928 1,918 1,969 1,972 1,945 1,987 1,983 1,944 1,902 1,929 1,895 1,825


49/125

1,771 1,848 1,904 1,863 1,844 1,809 1,769 1,824 1,804 1,835 1,881 1,892 1,892

1,876 1,914 1,914 1,920 1,917 1,858 1,853 1,808

1,834 1,452 1,787 1,456 1,766 1,460 1,798 1,852 1,859 1,844 1,868 1,885 1,866 1,844 1,805 1,812 1,763 1,750


50/125

1,750 1,716 1,726 1,685 1,697 1,692 1,704 1,747 1,762 1,745 1,771 1,856 1,841

1,871 1,856 1,854 1,860 1,839 1,879 1,864 1,869

1,868 1,844 1,844 1,874 1,891 1,890 1,819 1,817 1,821 1,796 1,769 1,789 1,810 1,833 1,804


51/125

1,769 1,699 1,708 1,717 1,583 1,393 1,508 1,567 1,545 1,564 1,609 1,608 1,590

1,586 1,507 1,484 1,508 1,536 1,495 1,522 1,543

1,550 1,548 1,545 1,508 1,481 1,501 1,495 1,512 1,491 1,483 1,475 1,445 1,472 1,489 1,514


52/125

1,519 1,507 1,537 1,538 1,527 1,558 1,567 1,517 1,549 1,560 1,535 1,523 1,538

1,559 1,572 1,566 1,582 1,588 1,602 1,618 1,601

1,595 1,619 1,632 1,640 1,631 1,626 1,655 1,633 1,643 1,652 1,624 1,598 1,598 1,624 1,604


53/125

1,582 1,609 1,591 1,578 1,592 1,596 1,611 1,609 1,629 1,632 1,636 1,630 1,635

1,644 1,651 1,656 1,649 1,668 1,675 1,686 1,684

1,703 1,734 1,729 1,750 1,753 1,726 1,722 1,717 1,701 1,728 1,744 1,777 1,806 1,812 1,793


54/125


55/125

1,963 1,992 1,996 1,991 1,994 1,978 1,990 1,971 1,985 2,007 2,029 2,033 2,013

2,028 2,041 2,036 2,045 2,062 2,064 2,072 2,071

2,060 2,080 2,117 2,104 2,032 1,998 2,017 1,983 1,954 1,923 1,955 1,932 1,933 1,934 1,928


56/125

1,925 1,909 1,932 1,955 2,008 2,058 2,062 2,052 2,079 2,097 2,055 2,055 2,070

2,063 2,083 2,098 2,090 2,069 2,062 2,055 2,043

2,059 2,058 2,057 2,061 2,103 2,085 2,093 2,129 2,148 2,161 2,169 2,161 2,168 2,154 2,147


57/125

2,129 2,124 2,098 2,118 2,097 2,061 2,027 2,016 2,029 1,984 1,995 2,036 2,068

2,063 2,054 2,069 2,053 2,033 2,003 2,025 2,023

1,956 1,928 1,909 1,931 1,951 1,968 1,971 1,959 1,936 1,943 1,903 1,917 1,921 1,943 1,962


58/125

1,978 2,001 1,991 1,986 1,993 1,992 2,013 1,991 1,983 1,992 1,992 2,016 2,029

2,044 2,073 2,077 2,073 2,088 2,088 2,064 2,094

2,092 2,092 2,095 2,112 2,103 2,091 2,104 2,111 2,128 2,124 2,131 2,145 2,168 2,187 2,184


59/125

2,194 2,200 2,170 2,192 2,220 2,212 2,231 2,211 2,228 2,184 2,196 2,219 2,221

2,204 2,185 2,213 2,234 2,237 2,241 2,231 2,267

2,289 2,304 2,318 2,312 2,322 2,359 2,358 2,367 2,362 2,325 2,322 2,359 2,381 2,362 2,370


60/125

2,405 2,401 2,383 2,370 2,326 2,323 2,355 2,359 2,338 2,369 2,385 2,406 2,417

2,422 2,429 2,449 2,456 2,484 2,500 2,493 2,525

2,555 2,567 2,577 2,568 2,481 2,478 2,559 2,574 2,599 2,608 2,601 2,630 2,664 2,644 2,577


61/125

2,577 2,569 2,584 2,538 2,488 2,485 2,468 2,421 2,398 2,444 2,395 2,418 2,409

2,353 2,315 2,367 2,386 2,419 2,464 2,493 2,489

2,501 2,549 2,559 2,558 2,604 2,620 2,603 2,573 2,609 2,635 2,665 2,684 2,712 2,698 2,652


62/125

2,700 2,698 2,661 2,662 2,695 2,707 2,756 2,777 2,813 2,805 2,779 2,808 2,843

2,826 2,827 2,836 2,804 2,746 2,807 2,793 2,824

2,837 2,836 2,883 2,904 2,900 2,913 2,910 2,869 2,851 2,851 2,834 2,810 2,811 2,871 2,900


63/125

2,886 2,909 2,942 2,983 2,969 3,001 2,972 2,968 2,941 3,001 3,018 3,009 3,026

3,040 3,001 3,023 3,022 2,982 3,009 3,036 3,051

3,062 3,050 3,068 3,075 3,124 3,151 3,147 3,190 3,183 3,117 3,129 3,184 3,197 3,197 3,227


64/125

3,234 3,265 3,263 3,241 3,247 3,283 3,321 3,325 3,354 3,421 3,403 3,473 3,483

3,526 3,455 3,479 3,380 3,342 3,429 3,524 3,540

3,577 3,573 3,549 3,463 3,555 3,507 3,508 3,558 3,604 3,631 3,649 3,669 3,695 3,721 3,756


65/125

3,704 3,651 3,503 3,525 3,636 3,392 3,254 3,069 3,204 3,115 3,178 3,207 3,216

3,182 3,073 2,962 3,093 3,015 2,935 2,857 2,721

2,868 2,774 2,665 2,634 2,800 2,892 2,919 2,861 2,924 2,994 3,043 3,052 2,944 2,982 2,983


66/125

2,994 3,129 3,151 3,137 3,198 3,158 3,077 3,145 3,125 3,196 3,166 3,124 3,007

2,996 2,944 3,025 2,945 2,990 3,040 3,110 3,158

3,131 3,128 3,129 3,183 3,190 3,177 3,152 3,212 3,255 3,260 3,275 3,315 3,360 3,355 3,357


67/125

3,370 3,364 3,337 3,369 3,386 3,405 3,426 3,405 3,414 3,436 3,471 3,474 3,477

3,455 3,470 3,363 3,390 3,455 3,472 3,479 3,494

3,458 3,507 3,554 3,545 3,524 3,572 3,580 3,572 3,589 3,571 3,516 3,565 3,570 3,567 3,582


68/125


69/125

4,002 4,001 4,016 4,015 4,016 3,962 3,849 3,717 3,766 3,850 3,888 3,929 3,832

3,815 3,835 3,871 3,943 3,974 3,972 3,966 4,008

4,027 3,990 3,983 3,933 3,911 3,852 3,945 4,053 4,091 4,085 4,075 4,126 4,090 4,103 4,067


70/125

4,092 4,148 4,124 4,083 4,140 4,193 4,217 4,198 4,232 4,224 4,187 4,069 4,045

4,047 4,149 4,165 4,107 4,097 4,046 3,939 3,948

3,893 3,745 3,812 3,727 3,577 3,662 3,627 3,762 3,717 3,735 3,768 3,645 3,639 3,611 3,680


71/125

3,698 3,765 3,877 3,863 3,819 3,759 3,789 3,820 3,634 3,690 3,735 3,753 3,844

3,848 3,862 3,830 3,921 4,014 3,990 3,999 4,000

4,084 4,085 4,134 4,170 4,182 4,082 4,089 4,169 4,118 4,111 4,077 4,080 4,070 4,079 4,134


72/125

4,125 4,172 4,217 4,218 4,263 4,280 4,246 4,198 4,248 4,258 4,293 4,296 4,301

4,269 4,286 4,198 4,180 4,184 4,140 4,155 4,113

4,186 4,177 4,144 4,214 4,249 4,268 4,251 4,259 4,286 4,264 4,282 4,318 4,315 4,358 4,359


73/125

4,353 4,385 4,419 4,404 4,388 4,446 4,506 4,497 4,499 4,500 4,564 4,564 4,620

4,621 4,593 4,619 4,442 4,444 4,529 4,356 4,356

4,404 4,342 4,357 4,462 4,394 4,325 4,374 4,366 4,171 4,109 4,210 4,081 4,160 4,113 4,194


74/125

4,302 4,318 4,360 4,413 4,467 4,482 4,480 4,476 4,519 4,507 4,510 4,499 4,498

4,530 4,518 4,494 4,550 4,735 4,753 4,837 4,939

4,938 4,943 4,996 5,022 5,069 5,212 5,208 5,186 5,063 5,328 5,439 5,525 5,428 5,671 5,659


75/125

5,551 5,360 5,203 5,185 5,478 5,499 5,564 5,709 5,918 5,869 5,904 5,855 5,932

5,847 5,782 5,779 5,703 5,661 5,612 5,704 5,943

5,913 5,908 5,911 5,779 5,565 5,524 5,611 5,729 5,700 5,618 5,634 5,765 5,870 5,862 5,941


76/125

5,964 5,974 5,960 6,067 6,159 6,056 6,038 5,778 5,730 5,752 5,771 5,988 6,069

6,080 6,095 6,137 6,145 6,184 6,179 6,271 6,282

6,288 6,278 6,167 6,209 6,226 6,065 5,938 5,908 5,705 5,203 4,903 5,208 5,035 5,381 5,280


77/125

5,284 5,172 5,141 5,316 5,464 5,470 5,323 5,132 5,121 4,878 4,837 4,945 5,203

5,304 5,278 5,267 5,157 5,183 5,112 5,201 5,271

5,266 5,285 5,223 4,959 4,867 4,918 4,768 4,796 4,870 4,869 4,624 4,745 4,520 4,535 4,577


78/125

4,617 4,879 4,829 4,830 4,942 4,736 4,741 4,754 4,767 4,631 4,761 4,707 4,748

4,734 4,780 4,882 4,891 4,956 5,037 5,044 5,023

4,999 5,113 5,092 5,198 5,265 5,227 5,192 5,157 5,136 5,071 4,981 5,009 4,958 5,011 5,116


79/125

5,157 5,106 5,117 5,027 4,954 4,877 4,863 4,926 4,844 4,869 4,739 4,719 4,587

4,681 4,626 4,522 4,470 4,524 4,540 4,536 4,573

4,653 4,583 4,504 4,351 4,271 4,190 4,253 4,315 4,136 4,040 3,895 4,095 3,927 4,002 4,029


80/125

3,991 4,156 4,166 4,047 4,039 3,862 3,823 3,963 4,092 4,158 4,247 4,476 4,441

4,282 4,332 4,191 4,314 4,332 4,426 4,396 4,506

4,515 4,518 4,529 4,621 4,548 4,524 4,431 4,393 4,365 4,416 4,284 4,318 4,335 4,337 4,291


81/125


82/125

3,065 2,936 2,584 2,526 2,685 2,696 2,885 3,050 3,156 2,998 2,893 2,973 3,147

2,938 2,848 2,813 2,802 2,683 2,634 2,554 2,691

2,708 2,652 2,746 2,755 2,673 2,658 2,657 2,787 2,715 2,786 2,934 2,915 2,918 2,984 3,040


83/125

2,955 3,063 3,077 3,039 2,967 2,920 2,857 2,923 2,980 2,963 3,035 3,059 3,122

3,113 2,920 2,869 2,775 2,748 2,832 2,737 2,829

2,843 2,777 2,715 2,705 2,686 2,771 2,849 2,824 2,872 2,774 2,781 2,803 2,779 2,843 2,920


84/125

2,933 2,927 2,897 2,948 2,854 2,755 2,777 2,789 2,737 2,733 2,762 2,786 2,765

2,672 2,612 2,646 2,577 2,620 2,575 2,617 2,716

2,776 2,758 2,797 2,807 2,807 2,924 2,939 2,982 3,079 3,109 2,982 3,024 3,061 3,211 3,255


85/125

3,346 3,342 3,381 3,484 3,370 3,385 3,377 3,365 3,331 3,424 3,481 3,470 3,372

3,479 3,665 3,662 3,617 3,682 3,616 3,555 3,669

3,632 3,598 3,673 4,325 4,319 4,270 4,212 4,238 4,240 4,117 4,276 4,341 4,450 4,530 4,526


86/125

4,530 4,573 4,582 4,428 4,552 4,657 4,638 4,585 4,478 4,515 4,353 4,251 4,314

4,223 4,247 4,294 4,244 4,375 4,392 4,292 4,374

4,347 4,430 4,166 4,202 4,079 4,081 4,003 3,974 4,121 4,224 4,231 4,378 4,502 4,469 4,410


87/125

4,525 4,569 4,573 4,566 4,513 4,572 4,634 4,706 4,681 4,694 4,592 4,487 4,435

4,474 4,459 4,605 4,579 4,390 4,458 4,394 4,453

4,537 4,642 4,659 4,679 4,688 4,731 4,662 4,624 4,609 4,609 4,682 4,783 4,805 4,814 4,819


88/125

4,830 4,808 4,895 4,959 4,964 4,977 5,020 4,977 4,985 4,959 5,008 5,087 5,076

5,004 5,032 5,011 4,993 4,945 5,054 5,119 5,109

5,159 5,115 5,063 4,987 4,997 4,971 4,847 4,826 4,751 4,712 4,567 4,712 4,768 4,796 4,899


89/125

4,882 5,004 4,952 4,997 5,059 5,062 5,044 4,989 5,053 5,105 5,092 5,116 5,005

4,942 5,040 5,123 5,125 5,132 5,109 5,069 5,148

5,112 5,136 5,117 5,106 5,033 5,047 5,042 4,984 4,953 4,990 5,145 5,181 5,189 5,171 5,201


90/125

5,277 5,278 5,282 5,264 5,264 5,251 5,213 5,235 5,260 5,254 5,274 5,226 5,220

5,094 5,035 5,009 4,863 4,866 4,882 4,908 4,831

4,931 4,820 4,713 4,755 4,761 4,793 4,757 4,828 4,802 4,859 4,915 4,887 4,849 4,857 4,870


91/125

4,859 4,859 4,936 5,016 5,097 5,081 5,092 5,121 5,102 5,116 5,132 5,134 5,129

5,198 5,233 5,247 5,261 5,206 5,225 5,261 5,284

5,303 5,260 5,249 5,291 5,370 5,366 5,376 5,302 5,354 5,341 5,323 5,273 5,279 5,208 5,230


92/125

5,249 5,270 5,299 5,322 5,308 5,215 5,254 5,278 5,224 5,148 5,124 5,072 5,027

5,190 5,134 5,158 5,181 5,094 5,060 5,065 4,924

4,947 4,944 4,945 4,807 4,915 5,006 5,076 5,086 4,971 5,020 5,113 5,133 5,037 4,985 5,000


93/125

5,079 5,120 5,201 5,225 5,234 5,275 5,267 5,354 5,316 5,323 5,321 5,271 5,334

5,254 5,312 5,251 5,237 5,236 5,293 5,242 5,297

5,352 5,370 5,402 5,387 5,377 5,393 5,387 5,369 5,399 5,442 5,447 5,420 5,436 5,398 5,408


94/125

5,370 5,433 5,441 5,470 5,448 5,440 5,487 5,461 5,419 5,421 5,452 5,422 5,416

5,478 5,541 5,531 5,541 5,505 5,462 5,490 5,409

5,414 5,403 5,472 5,486 5,480 5,576 5,604 5,608 5,639 5,760 5,795 5,861 5,829 5,885 5,981


95/125

6,008 5,991 5,959 6,018 6,036 6,029 5,991 6,030 6,145 6,159 6,151 6,187 6,121

6,106 6,136 6,091 6,234 6,176 6,113 6,114 6,003

6,009 6,113 6,101 6,116 6,075 6,040 6,021 6,092 6,128 6,151 6,210 6,322 6,335 6,281 6,303


96/125

6,286 6,182 6,080 6,143 6,076 6,011 5,921 5,972 5,947 5,884 5,829 5,790 5,812

5,871 6,023 6,013 6,034 5,995 5,954 5,924 5,761

5,883 5,929 5,931 5,911 5,927 5,960 6,019 6,006 5,940 6,013 6,005 6,005 6,062 6,105 6,177


97/125

6,173 6,141 6,107 6,031 5,901 5,768 5,800 5,851 5,752 5,649 5,683 5,737 5,656

5,692 5,717 5,763 5,725 5,614 5,453 5,537 5,470

5,430 5,520 5,430 5,432 5,293 5,246 5,220 5,340 5,468 5,468 5,502 5,558 5,457 5,504 5,452


98/125

5,409 5,321 5,330 5,382 5,478 5,586 5,490 5,466 5,542 5,516 5,456 5,437 5,420

5,476 5,455 5,475 5,409 5,391 5,411 5,502 5,589

5,645 5,687 5,756 5,803 5,835 5,842 5,924 5,908 5,889 5,887 5,805 5,748 5,899 5,824 5,716


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5,786 5,883 5,860 5,877 5,884 5,851 5,783 5,767 5,690 5,568 5,532 5,478 5,575

5,556 5,547 5,538 5,492 5,542 5,496 5,448 5,448

5,451 5,457 5,385 5,389 5,373 5,414 5,494 5,492 5,561 5,530 5,566 5,504 5,509 5,535 5,524


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5,518 5,470 5,486 5,494 5,420 5,413 5,372 5,281 5,305 5,269 5,343 5,441 5,549

5,567 5,615 5,706 5,680 5,660 5,623 5,633 5,735

5,648 5,557 5,542 5,569 5,603 5,582 5,570 5,642 5,555 5,577 5,634 5,688 5,589 5,492 5,479


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5,528 5,493 5,402 5,412 5,204 5,084 4,948 5,197 5,128 5,194 5,126 5,030 5,078

4,859 4,844 4,925 4,934 4,915 4,839 4,806 4,973

5,110 4,999 4,993 5,080 5,139 5,161 4,982 4,978 4,965 5,062 5,123 5,068 5,043 5,154 5,054


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4,874 4,879 4,905 5,006 4,924 4,990 4,874 4,824 4,791 4,884 4,887 5,020 5,011

5,131 5,057 5,156 5,049 5,080 5,087 5,107 5,115

5,138 5,215 5,342 5,359 5,279 5,217 5,242 5,325 5,292 5,310 5,160 5,217 5,131 5,059 5,027


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4,748 4,772 4,863 4,841 4,862 4,844 4,905 4,978 4,995 5,045 5,025 5,065 5,152

5,217 5,164 5,125 5,198 5,272 5,276 5,379 5,413

5,344 5,343 5,400 5,382 5,381 5,461 5,514 5,574 5,562 5,610 5,490 5,479 5,448 5,311 5,425


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5,366 5,369 5,360 5,343 5,266 5,207 5,294 5,420 5,391 5,491 5,463 5,380 5,337

5,257 5,267 5,361 5,256 5,274 5,243 5,232 5,146

5,207 5,296 5,353 5,329 5,283 5,254 5,209 5,247 5,256 5,191 5,267 5,321 5,321 5,314 5,277


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5,216 5,222 5,215 5,189 5,210 5,201 5,254 5,211 5,167 5,018 5,115 4,968 4,984

4,939 4,934 4,870 4,875 4,879 4,796 4,889 4,955

4,843 4,863 4,906 4,932 5,005 4,964 4,896 4,911 4,797 4,869 4,887 5,035 5,044 5,097 5,016


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5,118 5,105 5,070 5,174 5,051 5,115 5,097 5,102 5,159 5,107 5,149 5,149 5,191

5,284 5,299 5,310 5,297 5,325 5,284 5,287 5,315

5,240 5,243 5,232 5,228 5,199 5,250 5,234 5,163 5,129 5,118 5,126 5,124 5,130 5,215 5,221


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rk as follows:the 200 dma - buy 1 unitthe 100 dma - sell 1 unit

00 days so that you can change these days as you like

its

iscounting rate


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VBA EXERCISES1 Fill up rows 1 to 10 diagonally with numbers 1 to 102 Fill up rows 1 to 10 and columns 1 to 10 with numbers 51 to3 Given 10 sales persons and 10 sales figures, comment in the

relevant rows in special color, for those sales persons who h4 Create a tree (triangular) with first row 10 columns, secondLet the first number be 100, the other numbers increasing bLet the first number in the next row be 95 (5% less than 100)

Binomial model for option valuationu 105.00% 5%d = 1/u 95.24%

Steps 0 1 2 3 4Share Price Tree 100.00 105.00 110.25 115.76 121.55 95.24 100.00 105.00 110.25

90.70 95.24 100.00 86.38 90.70

82.27

Options - Call OptionYou choose a strike price (say 100) If the price goes toYou buy the option for a price (premium) (10) Your gain would havOn the last day, you will get the upside if any An option is a right

Right to what

Right to receive theUpside over whatUpside over the striIf the price closes bLottery

If I had chosen a strike of 110, what would be the implication


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I would get lesser payoff on expiryThe price of the 110 call would be lower than that of the 100 call

Steps 0 1 2 3 4

Call Option Price 7.81 10.74 14.42 18.85 23.97 Strike 100.00 4.64 6.76 9.62 13.30 2.34 3.67 5.62

0.90 1.55 0.20

If you were an option seller and you sold this option for 7.81, and youIf you sold the option for 7.81 and the price went to 162.89, and you h

Steps 0 1 2 3 4Option Delta 0.625 0.747 0.858 0.944 0.996

0.475 0.609 0.749 0.877

0.312 0.438 0.592 0.160 0.252

0.049

The change in the price of the option given a change in the share priceIf the share price were to change by USD 1.00, how much will the opti

What is the practical significance of deltaIf your delta is 0.625, then holding 1 option is equivalent to holding 0.1 option = 0.625 shares


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The option seller will buy 0.625 shares on day zero - this is the hedge

End of month 1 - share may go to either 105.00 or 95.24The relevant delta levels are 0.747 or 0.475

If the price goes to 105.00 the delta will rise up to 0.747 0.7470.6250.122

If the price down to 95.24 the delta will rise fall to 0.475 0.4750.625

-0.150

Number of paths = 2^Steps 10 2 1024Simulation

Steps 0 1 2 3 4Random (1 Down, 0 Up) 0 1 0 0Cumulative Random 0 1 1 1

Share Price Path 100.00 105.00 100.00 105.00 110.25

Relevant Call Delta 0.625 0.747 0.609 0.749 0.877

Action - Buy/(Sell) 0.625 0.122 0.138- 0.140 0.127 Cash Flow 62.53- 12.79- 13.78 14.68- 14.05-

Opt Prem HedGain Payout Net Net7.81 5.43- - 2.38

Test

Opt Prem HedGain Payout Net Net7.812394 4.896383 -10.25 2.4587767.812394 5.572137 -10.25 3.134537.812394 5.271114 -10.25 2.8335087.812394 -6.16927 0 1.6431257.812394 -6.37603 0 1.4363637.812394 -6.22199 0 1.590401


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7.812394 5.046282 -10.25 2.6086767.812394 -6.11877 0 1.6936247.812394 16.63524 -21.5506 2.8970077.812394 -7.19898 0 0.6134177.812394 -6.7478 0 1.064594

7.812394 -6.47665 0 1.3357447.812394 -7.02192 0 0.7904787.812394 4.587666 -10.25 2.150067.812394 -6.95079 0 0.8616067.812394 43.53871 -47.7455 3.6055597.812394 -5.41707 0 2.3953227.812394 -6.44511 0 1.367287.812394 15.63882 -21.5506 1.9005877.812394 -7.01959 0 0.792808

7.812394 28.66018 -34.0096 2.4630057.812394 -5.42231 0 2.3900877.812394 -7.3287 0 0.4836947.812394 5.572137 -10.25 3.134537.812394 16.84929 -21.5506 3.1110577.812394 43.23108 -47.7455 3.2979337.812394 5.475743 -10.25 3.0381377.812394 -4.84497 0 2.9674277.812394 -6.19299 0 1.619407

7.812394 -6.9194 0 0.8929947.812394 17.01464 -21.5506 3.2764057.812394 -6.69856 0 1.113837.812394 16.73948 -21.5506 3.0012527.812394 -6.80281 0 1.0095857.812394 -6.47665 0 1.3357447.812394 -7.05503 0 0.7573627.812394 3.954497 -10.25 1.516897.812394 5.237289 -10.25 2.799683

7.812394 -6.9194 0 0.8929947.812394 -5.86581 0 1.9465857.812394 -6.64355 0 1.1688397.812394 -5.23754 0 2.5748517.812394 16.87276 -21.5506 3.134537.812394 -7.01818 0 0.7942127.812394 17.01487 -21.5506 3.27664


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7.812394 -5.85836 0 1.9540317.812394 -6.58249 0 1.2299047.812394 -6.25417 0 1.5582267.812394 -6.71358 0 1.0988177.812394 -5.50854 0 2.303857

7.812394 -6.08874 0 1.7236517.812394 -7.01959 0 0.7928087.812394 -6.95079 0 0.8616067.812394 -7.11115 0 0.7012467.812394 16.46328 -21.5506 2.7250517.812394 -6.54763 0 1.2647637.812394 -6.32166 0 1.4907367.812394 5.162928 -10.25 2.7253227.812394 -6.45162 0 1.360773

7.812394 -6.32904 0 1.4833547.812394 -7.30457 0 0.5078227.812394 -7.10974 0 0.7026497.812394 4.553841 -10.25 2.1162357.812394 -6.81515 0 0.9972397.812394 -6.43773 0 1.3746627.812394 -6.90439 0 0.9080077.812394 4.794427 -10.25 2.3568217.812394 -6.72359 0 1.088801

7.812394 -6.44511 0 1.367287.812394 -6.71358 0 1.0988177.812394 -6.81515 0 0.9972397.812394 -6.54763 0 1.2647637.812394 16.76976 -21.5506 3.0315297.812394 -7.02192 0 0.7904787.812394 16.94172 -21.5506 3.2034857.812394 4.596443 -10.25 2.1588367.812394 -6.44511 0 1.36728

7.812394 29.60391 -34.0096 3.4067387.812394 -7.3287 0 0.4836947.812394 -7.05503 0 0.7573627.812394 -7.24538 0 0.5670177.812394 -7.00863 0 0.8037627.812394 3.923763 -10.25 1.4861577.812394 -6.71333 0 1.099062


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7.812394 -6.6255 0 1.186897.812394 16.90839 -21.5506 3.1701587.812394 -6.49326 0 1.3191367.812394 29.10076 -34.0096 2.9035897.812394 -6.91707 0 0.895325

7.812394 -7.05503 0 0.7573627.812394 5.128832 -10.25 2.6912267.812394 16.60191 -21.5506 2.863687.812394 -6.18841 0 1.6239867.812394 -5.72886 0 2.0835387.812394 -6.47665 0 1.3357447.812394 -7.00863 0 0.8037627.812394 -6.68673 0 1.1256597.812394 -7.3287 0 0.483694

7.812394 4.671044 -10.25 2.2334387.812394 -6.54198 0 1.2704177.812394 4.659215 -10.25 2.2216087.812394 -5.60545 0 2.2069477.812394 29.4813 -34.0096 3.2841317.812394 -7.11115 0 0.7012467.812394 -5.08707 0 2.7253227.812394 -7.10741 0 0.704987.812394 -6.47665 0 1.335744


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100 (in any order) adjacent column "Great Work" and color the

ve performed well row 9 columns and so on5% for each column to the right

, again increasing by 5% in each column to the right

5 6 7 8 9 10127.63 134.01 140.71 147.75 155.13 162.89 115.76 121.55 127.63 134.01 140.71 147.75 105.00 110.25 115.76 121.55 127.63 134.01

95.24 100.00 105.00 110.25 115.76 121.55 86.38 90.70 95.24 100.00 105.00 110.25 78.35 82.27 86.38 90.70 95.24 100.00

74.62 78.35 82.27 86.38 90.70 71.07 74.62 78.35 82.27

67.68 71.07 74.62 64.46 67.68

61.39

62.89, you will get 62.89 (162.89 minus strike 100)e been 52.89 (62.89 minus 10)(not an obligation)

upside

e price low 100, then you get nothing (that 10 is lost)


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gainst the option sold by him

He will buy this much more shares

He will sell so many shares

5 6 7 8 9 101 1 0 1 0 12 3 3 4 4 5

105.00 100.00 105.00 100.00 105.00 100.00

0.760 0.572 0.797 0.546 1.000 -

0.116- 0.189- 0.226 0.251- 0.454 1.000-12.21 18.87 23.70- 25.13 47.67- 100.00 5.43-


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Imposed

Prob (u) 52%Prob (d) 48%

y


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Pair trading exercisePick up any of the following pairs

1 HUL and ITC Relative r2 SBI and PNB Pair tradi3 BoB and BoI4 OBC and BankNifty5 Maruti and M&M6 Bajaj Auto and Hero Honda7 ICICI Bank and HDFC Bank8 Ambuja Cement and Ultra Tech Cement9 Tata Steel and SAIL

10 Cipla and Ranbaxy

Download daily closing prices for the last 5 yearsAdjust the prices for any bonus / splitsWork out the share price ratio each dayDetermine maximum and minimum limits of the share price ratioDetermine standard deviation of the movementDetermine reasonable buy / sell signals for relative trading

Compute the number of shares to buy / sell at each signal and square oKeep track of gains / losses every day (realized and unrealized)Parameterize all signals such that these are amenable to SensitivityDetermine ideal / optimum buy / sell signals from your model


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ward and riskg strategy

ff

Modeling Exercises 11 Oct 2014

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Transcript of Modeling Exercises 11 Oct 2014