Assume today's settlement price on a CME EUR futures contract is $1.3172 per euro. You have a long position in one contract. EUR125,000 is the contract size of one EUR contract. Your performance bond account currently has a balance of $3,300. The next three days' settlement prices are $1.3158, $1.3165, and $1.3081. Calculate the changes in the performance bond account from daily marking-to- market and the balance of the performance bond account after the third day. Required: Note: Do not round intermediate calculations. Round your answer to 2 decimal places. Balance of the performance bond account

A Euro futures contract expires in 66 days. The interest rates are i$=6.1% and i€=1.1% respectively. The current spot rate is $1.02/€. Assume 360 days a year. Then the futures's price is $_________/ϵ (Keep four decimal places.)

(mark-to-market) You enter a long position in a € future contract with the size of €125,000 today. The futures expire in 90 days. The interest rates are i$=6% and i€=3.3%. The current spot rate is $1.38/€. Assume 360 days a year. If the spot rate is $1.43/€ the next day and interest rates remain the same, your profit or loss for this day is $ and two decimal places.) (Keep the sign

Consider a 4-year 5% bond swap in euros for 1 million notional value. In other words, there will be three interest payments followed by a final payment of interest plus principal, all made in euros. Assume that the appropriate discount rate is 9% and the spot rate is 1.05 USD/EUR when answering the following questions related to possible swap contracts. a. What is the net present value of the payments described above (in euros)? b. If you want to offset the euro payments with a single USD payment at the end of year two, what is the appropriate amount? (This could be described as a bullet repayment.) c. Alternatively, if you want to offset the euro payments with four equal USD payments at the end of each year, what is the appropriate amount? (This could be described as an annuity repayment.) Show work

You can enter into a forward contract for a bond with a maturity in one year months that pays a coupon payment of $25 every six months. The bond has a forward price of $930. The current zero coupon rate for 6 months is 4% annually and the zero coupon risk free rate for one year is 5% annually (assume continuous compounding). The current price of the bond is $943. Use the equilibrium forward price equation (F=Sert) adjusted for both coupon payments to see if an arbitrage opportunity exists. If arbitrage is possible, explain the arbitrage opportunity that exists and show how the profit can be earned – make sure to explain every step in detail in realizing the profit and establishing the arbitrage. If arbitrage is not possible, show how you know it is not possible.   ANSWER IN TYPING OTHER WISE DOWNVOTE YOU

3. Suppose a financial asset, ABC, is the underlying asset for a futures contractwith settlement of 6 months from now. You know the following about this financial asset and futures contract in the cash market ABC is selling for $120; ABC pays $18 per year in two semiannual payments of $9, and the next semiannual payment is due exactly 6 months from now; and the current 6-month interest rate at which funds can be loaned or borrowed is 6%. a) What is the theoretical (or equilibrium ) futures price? b) Suppose that ABC pays an interest quarterly instead of semiannually, What would be the theoretical futures price for 3 months settlement? c) Suppose that the borrowing rate is 8% and the 6-month lending rate is 6%, What is the boundary for the theoretical futures price?   SHOW YOUR SOLUTIONS, PLEASE DONT USE MS EXCEL

Consider a bond with semiannual interest payments that has a Settlement Date of 8/15/2020, a Maturity Date of 2/15/2031, a Coupon Rate of 5.00%, a Market Price of $975, a Face Value of $1,000, and a Required Return of 5.35%. What is the Macaulay Duration using the Duration function on these bonds expressed as a decimal calculated to two decimal places if you purchase them at the current market price? For example, if your answer is 12.345 then enter as 12.35 in the answer

Suppose the December CBOT Treasury bond futures contract has a quoted price of 80-07. What is the implied annual interest rate inherent in the futures contract? Assume this is a a 20 year bond with semi-annual interest payments. The face value of the bond is $1000, and the semi-annual coupon payments are $30.(a) 6.86%(b) 7.22%(c) 7.60%(d) 8.00%(e) 8.40%

Suppose that for a Treasury bond futures contract, the cheapest-to-deliver bond is a 4% coupon bond with a quoted price of 114.50 and conversion factor of 1.3150. The futures contract matures in six months and the next coupon will be paid in six months. There is no accrued interest. The six-month risk-free interest rate is 5%. What is the value of the Treasury bond futures contract?

You will be paying $8,600 a year In tultion expenses at the end of the next two years. Bonds currently yleld 7%. Q. What is the present value and duration of your obligation? b. What maturity zero-coupon bond would Immunize your obligation? c. Suppose you buy a zero-coupon bond with value and duration equal to your obligation. Now suppose that rates immediately Increase to 9%. What happens to your net position, that is, to the difference between the value of the bond and that of your tultion obligation? d. What if rates fall Immediately to 5% ? Complete this question by entering your answers in the tabs below. Required A Required B Required C Required D What is the present value and duration of your obligation? (Do not round intermediate calculations. Round "Present value" to 2 decimal places and "Duration" to 4 decimal places.) \table[[,,,],[Present value,,,,,],[Duration,,years,,,]]