Assignment#4 - 3-2.- The loss in debt

Info iconThis preview shows pages 1–3. Sign up to view the full content.

View Full Document Right Arrow Icon
Assignment #4    (Nov. 21 th  2006) Cho, Gyu Ho
Background image of page 1

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

View Full DocumentRight Arrow Icon
1-1. (BDY*100)=100-(0.04×100) = 96  1-2. 10,000*[100*(1-BDY* n /360)]=10,000*[100*(1-0.04*90/360)]=990,000 1-3.  -The worth of long position=10,000*[100*(1-0.042*90/360)]=989,500   Thus, net gain: $500(=990,000-989,500)  - BDY goes up by 20 bps, thus the net gain would be $500(=20 bps*$25) 2.  - Futures LIBOR=(100-92)/100=8%  -  The actual price per  contract=10,000*[100*(1-futures LIBOR ×   n /360)]=10,000  *[100*(1–0.08*90/360)]=980,000  The new price=10,000*[100*(1–0.07*90/360)]=982,500  Thus, the net gain would be $2,500(=982,500-980,000)  - Compare to original futures LIBOR, LIBOR has gone down by 100 bps.  So, the net gain: $2,500(=100 bps* $25)  3. 1. Short one T-bill futures 
Background image of page 2
Background image of page 3
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: 3-2.- The loss in debt 1,000,000*[(0.0394+0.01)(0.035+0.01)]*(90/360)=1,100 - The gain from the futures contract =991,125-990,100 =1,025 *Oct. 15, 2003: Future price per contract=10,000*[100-(100-96.45)*90/360] =991,125 *Nov. 20, 2003: Future price per contract=10,000*[100-(100-96.04)*90/360] =990,100 So, lost $75(=1,025-1,100) 4. * PVBP(portfolio) = $8,000,000*10*0.0001=$8,000 * 95-14 : 95 14/32*1,000=95,437.50 PVBP=$95,437.50*8*0.0001= $76.35 4.1. - PVBP(target)=$8,000,000*15*0.0001=$12,000 - # of contracts = (12,000-8,000)/(76.35*1.3)=40.30 contracts So, 41 futures contracts to long 4.2. - # of contracts would be 80.60 contracts(=8,000/(76.35*1.3)) So, 81 futures contracts to short...
View Full Document

Page1 / 3

Assignment#4 - 3-2.- The loss in debt

This preview shows document pages 1 - 3. Sign up to view the full document.

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