673_hw3_faq__updated_02.27_06.45_pm

673_hw3_faq__updated_02.27_06.45_pm - FAQ - Homework 3 You...

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Sheet1 FAQ - Homework 3 You will find below a summary of the more interesting questions that were asked in connection with the homework. Depending on the issues that might come up, this list might be updated from time to time. 1. [02/19] Two minor clarifications have been added to homework 3 they have been highlighted in bold red. Please take a look! 2. [02/21] The relationship between L(0, T) and B(0, T) was reversed due to a typo. As explained in class, the price of the LIBOR-based zero is LESS than the price of the Treasury-based zero of the same maturity. 3. [02/24] Whe computing the evolution of the margin accounts, how many futures contracts should be work with? One. As you have surely noted, the margin account requirements are "per contract" so all the numbers go up and down proportionally with the number of futures contracts you consider. 4. [02/24] What is the swap rate that we are asked for in problem 1? Here is a quote from an annoucement that I posted previously: "The homework asks for the (par) swap rate. Due to the extended
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673_hw3_faq__updated_02.27_06.45_pm - FAQ - Homework 3 You...

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