Exam 24: Term Structure of Interest Rates: Concepts

The "rule of 72" states that invested money doubles in value if the product of the interest rate (in percentage form) and time invested (in years) equals 72. Assuming continuous compounding, what exactly must the product be for money to double?

(Multiple Choice)

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Question 21

Assuming annual compounding, the prices of a one-year 4% coupon bond and a two-year 5% coupon bond are $101 and $99, respectively. Assume coupons are paid annually. The fair price of a two-year 6% coupon bond will be

(Multiple Choice)

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Question 22

If the forward rate curve is downward sloping, then

(Multiple Choice)

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Question 23

If the one year rate expressed with semi-annual compounding is 6%, what is the equivalent rate with quarterly compounding.

(Multiple Choice)

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Question 24

If the price of a two-year semi-annual pay bond is par (say, $100), and the coupon on the bond is 6%, the yield-to-maturity expressed with semi-annual compounding is

(Multiple Choice)

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Question 25

Showing 21 - 25 of 25

The "rule of 72" states that invested money doubles in value if the product of the interest rate (in percentage form) and time invested (in years) equals 72. Assuming continuous compounding, what exactly must the product be for money to double?

Assuming annual compounding, the prices of a one-year 4% coupon bond and a two-year 5% coupon bond are $101 and $99, respectively. Assume coupons are paid annually. The fair price of a two-year 6% coupon bond will be

If the forward rate curve is downward sloping, then

If the one year rate expressed with semi-annual compounding is 6%, what is the equivalent rate with quarterly compounding.

If the price of a two-year semi-annual pay bond is par (say, $100), and the coupon on the bond is 6%, the yield-to-maturity expressed with semi-annual compounding is

Overview

Futures Markets

Pricing Forwards and Futures I

Pricing Forwards Futures II

Hedging With Futures Forwards

Interest-Rate Forwards Futures

Options Markets

Options: Payoffs Trading Strategies

No-Arbitrage Restrictions

Early-Exercise Put-Call Parity

Option Pricing: an Introduction

Binomial Option Pricing

Implementing the Binomial Model

The Black-Scholes Model

Mathematics of Black-Scholes

Beyond Black-Scholes

The Option Greeks

Path-Independent Exotic Options

Exotic Options II: Path-Dependent Options

Value at Risk

Swaps and Floating Rate Products

Equity Swaps

Currency and Commodity Swaps

Estimating the Yield Curve

Modeling Term Structure Movements

Factor Models of the Term Structure

The Heath-Jarrow-Morton HJM and Libor Market Model LMM

Credit Derivative Products

Structural Models of Default Risk

Reduced-Form Models of Default Risk

Modeling Correlated Default

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