MOS398.ExcelAss.2

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

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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

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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
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

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

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

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