673_hw3 - NBA673 Introduction to Derivatives I Tibor Jnosi...

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NBA673 Introduction to Derivatives I Tibor Jánosi Spring 2006 (1 st half) Homework 3: Swaps, Bonds Due in class on Tuesday, February 28 . Your answers should be as clear, precise, and brief as possible. Show your work, e.g. write down the formulas you are using in their general form and explain very concisely why you are using them. If submissions are illegible, they will not be graded. When presenting an abstract argument, make sure that your arguments are logically consistent, complete, and that they cover all cases that might occur. Justify all your claims based on facts given to you in the problem or proven in class. Note: Problem 5 requires that you retrieve commodity prices from Bloomberg. There are only a few Bloomberg terminals available on campus; I know of one in the Parker Center, and one in the JGSM library. In order to avoid a last-minute rush, you should retrieve the data as early as possible. Problem 1: Using the information below, determine the swap rate on a five-year swap receiving fixed payments and paying floating rate payments. The floating payments are determined using LIBOR. Payment Date
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This note was uploaded on 09/28/2008 for the course NBA 6730 taught by Professor Janosi,tibor during the Spring '06 term at Cornell University (Engineering School).

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673_hw3 - NBA673 Introduction to Derivatives I Tibor Jnosi...

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