Exam 7: Interest Rate Forwards and Futures

A Forward Rate Agreement contains an agreed interest rate of 3.1% on a 6-month loan.If settled at the time of borrowing,what amount would the borrower pay or receive on a $500,000 loan if the prevailing 6-month interest rate is 2.9%?

(Multiple Choice)

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Question 21

A 4-year bond with a price of 100.696 exists.The duration on the bond is 3.674.If the yield rises from 5.8% to 6.2%,what is the new bond price as estimated by the duration?

(Multiple Choice)

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Question 22

The prices of 1,2,3,and 4-year zero coupon government bonds are 95.42,90.36,85.16,and 78.81,respectively.What is the continuously compounded 3-year zero yield?

(Multiple Choice)

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Question 23

The annual coupon rate on a 1-year treasury bond is 5.5%.The coupon on a 2-year treasury bond is 5.8%.What is the continuously compounded yield on a 2-year zero coupon bond?

(Multiple Choice)

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(43)

Question 24

Showing 21 - 24 of 24

A Forward Rate Agreement contains an agreed interest rate of 3.1% on a 6-month loan.If settled at the time of borrowing,what amount would the borrower pay or receive on a $500,000 loan if the prevailing 6-month interest rate is 2.9%?

A 4-year bond with a price of 100.696 exists.The duration on the bond is 3.674.If the yield rises from 5.8% to 6.2%,what is the new bond price as estimated by the duration?

The prices of 1,2,3,and 4-year zero coupon government bonds are 95.42,90.36,85.16,and 78.81,respectively.What is the continuously compounded 3-year zero yield?

The annual coupon rate on a 1-year treasury bond is 5.5%.The coupon on a 2-year treasury bond is 5.8%.What is the continuously compounded yield on a 2-year zero coupon bond?

Introduction to Derivatives

An Introduction to Forwards and Options

Insurance, collars, and Other Strategies

Introduction to Risk Management

Financial Forwards and Futures

Commodity Forwards and Futures

Swaps

Parity and Other Option Relationships

Binomial Option Pricing: Basic Concepts

Binomial Option Pricing: Selected Topics

The Black-Scholes Formula

Market-Making and Delta-Hedging

Exotic Options: I

Financial Engineering and Security Design

Corporate Applications

Real Options

The Lognormal Distribution

Monte Carlo Valuation

Brownian Motion and Itos Lemma

The Black-Scholes-Merton Equation

Risk-Neutral and Martingale Pricing

Exotic Options: 2

Volatility

Interest Rate and Bond Derivatives

Value at Risk

Credit Risk

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