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56 Pages

### Derivatives - Chapter 11

Course: MGT 200203, Fall 2009
School: Laurentian
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Word Count: 2576

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11 Fundamentals Chapter of Interest Rate Futures 1 2002 South-Western Publishing Outline Interest rate futures Treasury bills, Eurodollars, and their futures contracts Speculating &amp; Hedging with T-bill futures Hedging with Eurodollar Futures Treasury bonds and their futures contracts Pricing interest rate futures contracts Spreading with interest rate futures 2 Interest Rate Futures Exist...

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Laurentian - MGT - 200203
Chapter Thirteen Swaps and Interest Rate Options Answers to Problems and Questions 1. In an interest rate swap, the swap seller is the party paying the floating rate. 2. The swap tenor is the length (in time) of the swap arrangement. The swap price i
Laurentian - MGT - 200203
Chapter Fourteen Swap Pricing Answers to Problems and Questions 1. If the options are European style you can use the put/call parity model with C P = 0, meaning K = S (1+R)T. Here we have K = 28.55 x (1.055)0.5 = 29.32 If the options are American st
Laurentian - MGT - 200203
Oct 1 Message: Derivatives - 4451Y Message re Text Problem Solutions I will be posting to the web-site the solutions for the end of chapter problems for chapters 8, 11 and 12. Please look for them shortly. Terry Harbottle University of Lethbridge
Laurentian - MGT - 200203
Chapter Eight Fundamentals of the Futures Market Answers to Problems and Questions 1. Open interest measures the number of futures contracts that exist. One side of the contract may change hands many times prior to the delivery month. Each time a tra
Laurentian - MGT - 200203
Chapter Eleven Fundamentals of Interest Rate Futures Answers to Problems and Questions 1. Unlike shares in a particular common stock or bushels of inspected soybeans, not all Treasury bonds are identical. Differences in coupon rate and in maturity ar
Laurentian - MGT - 200203
Chapter Twelve Futures Contracts and Portfolio Management Answers to Problems and Questions 1. Immunization refers to the situation in which the effects of interest rate risk and reinvestment rate risk largely cancel. 2. Bullet immunization seeks to
Laurentian - MGT - 200203
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Laurentian - MGT - 200203
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Laurentian - MGT - 200203
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Laurentian - MGT - 200203
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Laurentian - MGT - 200203
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Laurentian - MGT - 200203
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