What is the implied nominal interest rate on a 6% semiannual 10-year U.S. T-notes ($100,000) futures contract that settled at 102 - 280? Do not round intermediate calculations. Round your answer to two decimal places. 94.76 If interest rates increased by 3%, what would be the contract's new value? Enter your answer as a positive value. Use the rounded interest rate calculated above. Do not round any other intermediate calculations. Round your answer to the nearest cent. $ 51759.24 %

What is the implied nominal interest rate on a 6% semiannual 10-year U.S. T-notes ($100,000) futures contract that settled at 102 - 280? Do not round intermediate calculations. Round your answer to two decimal places. 94.76 If interest rates increased by 3%, what would be the contract's new value? Enter your answer as a positive value. Use the rounded interest rate calculated above. Do not round any other intermediate calculations. Round your answer to the nearest cent. $ 51759.24 %

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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Some time ago a swap dealer entered into a Forward Rate Agreement (FRA) that has a notional value of $25,000,000. The swap dealer agreed to pay 4.96% based on quarterly compounding and receive Libor. Libor zero rates (based on continuous compounding are given below. a. What is the value of the FRA to the swap dealer assuming it begins in 9 months and lasts for 3 months? + b. Provide an example which shows exactly how the swap dealer can hedge its position in the FRA. Maturity (months) Zero Rate (%) 4 6 4.54 5 5.5 12 15
Assume today's settlement price on a CME EUR futures contract is $1.3154 per euro. You have a short position in one contract. EUR125,000 is the contract size of one EUR contract. Your performance bond account currently has a balance of $2,400. The next three days' settlement prices are $1.3140, $1.3147, $1.3063. 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
Consider a plain vanilla interest-rate swap with an effective date of January 1 of year 1, notional amount of $100 million and quarterly payments. The reference rate is 3- month LIBOR. On January 1, the 3-month LIBOR is 3.0%, and 3-month Eurodollar futures maturing on June 30 and September 30 of year 1 are quoted as 96.6 and 96.2. Find the present value of the floating payment in the third quarter. $899,104 $915,322 $931,067 $946,482
Find the value of a put option on £10,000 with a strike price of €1.5000/£ which matures in one period. The current exchange rate is €1.5000/£ and in the next period the exchange rate can increase to €2.4000/£ or decrease to €0.9375/£. The current one-period interest rates are i€ = 3% and are i£ = 4%. Group of answer choices None of the other answers€3,382 €2,027 €2,047 no explanation needed €3,415
Give typing answer with explanation and conclusion
What is the implied nominal interest rate on a 10-year U.S. T-notes ($100,000)futures contract that settled at 103–060? If interest rates increased by 3%, what would bethe contract’s new value?
Compute for the gain or loss from the derivative contract. And Show Complete solution. The call option has a strike price of P50 per 1 USD. On exercise date, the exchange rate is P48.
Q2) Suppose the current one-year euro swap rate y0[0, 1] is 1.74%, and the two-yearand three-year swap rates are 2.24% and 2.55% respectively. Euro swap rates are quotedwith annual payments and 30/360 daycount (thus α = 1). A hedge fund(HF) executes the following two trades with a dealer:1(1) The HF pays fixed and receives floating on e100 million notional of a one-year swap atthe forward swap rate.(2) The HF receives fixed and pays floating on e100 million notional of a three-year swapat the forward swap rate.Assume bid-offer costs are negligible.a) After one year, what net cashflow has the dealer paid to (or received from) the HF?b) Suppose after one year, one-year and two-year euro swap rates are unchanged. What isthe current value of the remaining part of the HF trade?c) Suppose after one year, the one-year euro swap rate is unchanged but the two-year euroswap rate is now Y%. What value of Y gives a total zero profit on the trade (at T = 1)?d) Do you like the trades the HF…
Suppose the September Eurodollar futures contract has a price of 96.4. You plan to borrow $50m for 3 months in September at LIBOR, and you intend to use the Eurodollar contract to hedge your borrowing rate. a. What rate can you secure? b. Will you be long or short the Eurodollar contract? c. How many contracts will you enter into? d. Assuming the true 3-month LIBOR is 1% in September, what is the settlement in dollars at expiration of the futures contract? (For purposes of this question, ignore daily marking-to-market on the futures contract.)
Assume a call option on euros is written with a strike price of $1.120/€ at a premium of 4.60¢ per euro ($0.0460/€) and with an expiration date three months from now. The option is for €500,000. Calculate your profit or loss should you exercise before maturity at a time when the euro is traded spot at the following: a) $1.10/€ b) $1.15/€ c) $1.40/€
The one year spot interest rate is 4%. The two year spot rate is 5% and thethree year spot rate is 6%. You are quoted a swap rate of 5.5% on a 3 yearfixed-for-floating swap. Is this rate fair? Explain your response, and if it isnot fair, derive the fair swap rate. [Write no more than half of a page of A4]

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