MOS398.ExcelAss.2

MOS398.ExcelAss.2 - Question One Maturity (years) Zero Rate...

Info iconThis preview shows pages 1–4. Sign up to view the full content.

View Full Document Right Arrow Icon
Question One Maturity (years) Zero Rate (%) (Cont. Comp.) Forward rate for nth year 1 5.00% 5.00% 2 5.25% 5.50% 3 5.50% 6.00% 4 5.75% 6.50% 5 6.00% 7.00% (used formula on page 83) Question 2 Estimated Date LIBOR (1 year) Floating cash flow payed 1 5.00% -37,500.00 2 5.50% -41,250.00 3 6.00% -45,000.00 4 6.50% -48,750.00 5 7.00% -52,500.00
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Principle Year End Payments Equation Aids 750,000.00 37,500.00 35,671.10 0.95 750,000.00 41,250.00 37,138.39 0.90 750,000.00 45,000.00 38,155.22 0.85 750,000.00 48,750.00 38,733.51 0.79 750,000.00 52,500.00 38,892.96 0.74 225,000.00 188,591.18 4.23 X (NPV=0): 44,533.67 Fixed Rate: 5.94% Fixed Rate Plus 25 basis points: 6.19% Cash Flows Fixed cash flow received Net cash flow NPV 46,408.67 8,908.67 8,474.19 46,408.67 5,158.67 4,644.48 46,408.67 1,408.67 1,194.41 46,408.67 -2,341.33 -1,860.26 46,408.67 -6,091.33 -4,512.57 7,043.37 7,940.25
Background image of page 2
Trial 1 2 3 LIBOR NPV LIBOR NPV LIBOR NPV LIBOR 1 5.00% 8,925.00 8,489.72 6.01% 1,321.95 1,190.18 6.14% 393.31 333.48 6.43% 2 5.00% 8,925.00 8,489.72 4.55% 12,277.31 11,053.56 4.62% 11,792.02 9,998.38 7.57% 3 5.00% 8,925.00 8,489.72 6.08% 853.29 768.23 5.56% 4,691.59 3,977.97 6.68% 4 5.00% 8,925.00 8,489.72 6.55% -2,725.30 -2,453.66 7.24% -7,880.17 -6,681.54 7.28% 5 5.00% 8,925.00 8,489.72 5.77% 3,170.66 2,854.63 6.15% 330.79 280.48 7.21% 6 5.00% 8,925.00 8,489.72 4.57% 12,140.22 10,930.14 6.61% -3,173.97 -2,691.19 6.92% 7 5.00% 8,925.00 8,489.72 5.82% 2,747.12 2,473.30 5.89% 2,272.43 1,926.78 5.53% 8 5.00% 8,925.00 8,489.72 5.97% 1,660.86 1,495.32 5.69% 3,779.07 3,204.25 5.88% 9 5.00% 8,925.00 8,489.72 5.12% 8,017.00 7,217.90 7.53% -10,065.65 -8,534.60 5.60% 10 5.00% 8,925.00 8,489.72 7.30% -8,312.69 -7,484.12 6.12% 528.19 447.85 6.70% 11 5.00% 8,925.00 8,489.72 6.22% -188.40 -169.63 5.36% 6,249.32 5,298.76 5.57% 12 5.00% 8,925.00 8,489.72 4.78% 10,597.73 9,541.40 5.80% 2,907.84 2,465.54 5.82% 13 5.00% 8,925.00 8,489.72 4.34% 13,897.31 12,512.09 4.97% 9,180.44 7,784.04 6.59% 14 5.00% 8,925.00 8,489.72 6.01% 1,332.72 1,199.88 8.44% -16,891.05 -14,321.82 6.38% 15 5.00% 8,925.00 8,489.72 5.52% 5,003.26 4,504.55 6.24% -409.24 -346.99 4.37% 16 5.00% 8,925.00 8,489.72 4.98% 9,053.78 8,151.34 6.72% -3,949.96 -3,349.14 7.09% 17 5.00% 8,925.00 8,489.72 7.62% -10,761.46 -9,688.81 5.77% 3,161.25 2,680.41 5.76% 18 5.00% 8,925.00 8,489.72 4.35% 13,828.68 12,450.30 4.71% 11,134.89 9,441.20 6.66% 19 5.00% 8,925.00 8,489.72 5.15% 7,790.52 7,013.99 5.85% 2,559.87 2,170.50 6.54% 20 5.00% 8,925.00 8,489.72 5.54% 4,884.72 4,397.83 5.77% 3,182.36 2,698.31 5.19% 21 5.00% 8,925.00 8,489.72 4.26% 14,466.65 13,024.68 5.09% 8,265.60 7,008.35 6.08% 22 5.00% 8,925.00 8,489.72 4.84% 10,136.84 9,126.44 5.76% 3,227.49 2,736.57 7.05% 23 5.00% 8,925.00 8,489.72 5.43% 5,723.76 5,153.24 6.05% 1,081.29 916.82 7.51% 24 5.00% 8,925.00 8,489.72 3.29% 21,720.67 19,555.65 5.26% 6,980.04 5,918.33 7.48% 25 5.00% 8,925.00 8,489.72 5.40% 5,928.15 5,337.26 6.57% -2,864.42 -2,428.72 6.43% 26 5.00% 8,925.00 8,489.72 5.42% 5,780.93 5,204.71 4.17% 15,155.64
Background image of page 3

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Image of page 4
This is the end of the preview. Sign up to access the rest of the document.

This note was uploaded on 04/18/2008 for the course MOS 398 taught by Professor Shabaz during the Spring '08 term at UWO.

Page1 / 8

MOS398.ExcelAss.2 - Question One Maturity (years) Zero Rate...

This preview shows document pages 1 - 4. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online