--%>
Assignment Help - homework help

all rates are stated annually with semiannual compoundig

1.      Assume the following (all rates are stated annually with semiannual compounding):

a.       Six Month Spot Rate is 2%

b.      Six Month Forward rate starting at month six is 2.2%

c.       Six Month Forward rate starting at month 12 is 2.4%

d.      Six Month Forward rate starting at month 18 is 2.5%

 

Then find the price of a two year treasury note with a coupon rate of 4%

 2.      Assume that you purchase a bond with a 5% annual coupon (paid semiannually) and exactly ten years to maturity.  The          yield is 4.5% (stated annually with semiannual compounding).  After six months, the yield of the bond is 4.3%.  What is          the Total Return for the holding period?

 3.      Suppose that your trading desk bought $96,000,000 face value of the one-year 5.00% coupon bond.  Assume that the             bond is priced at Par.You want to hedge the interest rate risk with T-Bill futures until you can cover the position by                   buying in the market place.One T-Bill Futures Contract will pay the long position $25 for every one basis point drop in               T-Bill rates.I gnore any possible transactions in the Repo Market.

                                                               Do you buy or sell contracts? 

a.       How many contracts would you buy or sell?

 

   Related Questions in Finance Basics

  • Q : Impact of an increase in the total

    Normal 0 false false

  • Q : What is Legislative Analysts Office

    Legislative Analyst’s Office (LAO): A non-partisan organization which gives advice to the Legislature on the fiscal and policy matters. For illustration, the LAO annually publishes a full analysis of the Governor's Budget and this document becom

    		•
  • Q : What are a banks main reserves What are

    What are a bank's main reserves? Vault cash & deposits in the bank's account at the Fed are utilized to satisfy these reserve requirements; they are termed as primary reserves.  These primary reserves are non-interest-earning assets hel

    		•
  • Q : Explain the primary advantage of

    Explain the primary advantage to a corporation of investing some of its funds within working capital? Through investing in working capital a firm gets the liquidity it require helping it to pay its bills. Therefore the risk of the firm is reduce

    		•
  • Q : Describe the fact of common

    Normal 0 false false

  • Q : Durable goods industries and

    Normal 0 false false

    		•
  • Q : What is Other Finance Refund to

    Refund to Reverted Appropriations: It is a receipt account to record the return of monies (example, abatements and reimbursements) to appropriations which have reverted.

    		•
  • Q : What is Department Department: The

    Department: The governmental organization, generally belonging to the third level of the state organizational hierarchy as stated in the Uniform Codes Manual.

    		•
  • Q : Describe Schedule 8 Schedule 8 : A

    Schedule 8: A detailed listing produced from the State Controller's Office payroll records for a department of its past, present, and budget year positions as of June 30 and updated for the July 1. This listing should be reconciled with each and every

    		•
  • Q : How earnings obtainable to common

    Normal 0 false false