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as we discussed in the chapter futures can be used to eliminate systematic risk in a stock portfolio leaving it
you plan to buy 1000 shares of swiss international airlines stock the current price is sf950 the current exchange
1 an interest rate swap has two primary risks associated with it identify and explain each risk2 define
consider a currency swap for 10 million and sf15 million one party pays dollars at a fixed rate of 9 percent and the
consider a 100 million equity swap with semi-annual payments when the swap is established the underlying stock is at
1 explain how an interest rate swap is a special case of a currency swap2 show how to combine a currency
a bank currently holds a loan with a principal of 12 million the loan generates quarterly interest payments at a rate
the uk manager of an international bond portfolio would like to synthetically sell a large position in a french
the ceo of a large corporation holds a position of 25 million shares in her companys stock which is currently priced
a corporation enters into a 35 million notional principal interest rate swap the swap calls for the corporation to pay
a us corporation is considering entering into a currency swap that will call for the firm to pay dollars and receive
you are a pension fund manager who anticipates having to pay out 8 percent paid semi-annually on 100 million for the
a hedge fund is currently engaged in a plain vanilla euro swap in which it pays euros at the euro floating rate of
an asset management firm has a 300 million portfolio consisting of all stock it would like to divest 10 percent of
consider a currency swap with but two payment dates which are one year apart and no exchange of notional principals on
1 explain how the black model which is designed for pricing options on futures contracts can be used for pricing
1 explain how the two types of swaptions are like interest rate options and how they are different2
1 explain how a forward swap is like a swaption and how it is different2 suppose a firm plans to borrow 5
the following term structure of libor is giventermrate90 days600180 days620270 days630360 days635a find the rate on a
you are the treasurer of a firm that will need to borrow 10 million at libor plus 25 points in 45 days the loan will
a large multinational bank has committed to lend a firm 25 million in 30 days at libor plus 100 bps the loan will have
as the assistant treasurer of a large corporation your job is to look for ways your company can lock in its cost of
you are a funds manager for a large bank on april 15 your bank lends a corporation 35 million with interest payments to
on january 15 a firm takes out a loan of 30 million with interest payments to be made on april 16 july 15 october 14
a bank is offering an interest rate call with an expiration of 45 days the call pays off based on 180-day libor the