CH15 - CHAPTER 15 1. A bond futures contract with one...

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

View Full Document Right Arrow Icon
CHAPTER 15 1. A bond futures contract with one deliverable bond has a maturity date in 2 years from now have, par value of $100, and annual coupon of $8. If the futures delivery date is in 1 year, determine the futures price if (a) R 0,1 = R 0,2 = 8 percent. (b) R 0,1 = 5 percent, R 0,2 = 10 percent. f + 1 Par + C = F 0,2 a. 100 = 1.08 108 = F b. ) f + (1 ) R + (1 = ) R + (1 0,2 0,1 2 0,2 % 24 . 15 1524 . 0 f ) f 1 )( 05 . 1 ( ) 10 . 1 ( 2 , 0 2 , 0 2 = = + = 72 . 93 1524 = 1. 108 = F 2. Consider a bond futures contract with one deliverable bond having a maturity date in 3 years choose from, par value of $100, and annual coupon of $8. If the futures delivery date is in 1 year, determine the futures price if (a) R 0,1 = R 0,2 = R 0,3 = 8 percent. (b) R 0,1 = 5 percent, R 0,2 = 7 percent, R 0,3 = 9 percent. a. 100 = 8) (1.08)(1.0 108 + 1.08 8 = F b. (1.07) 2 = (1.05)(1 + f 0,2 ) f 0,2 = 9.04% (1.09) 3 = (1.07) 2 (1 + f 0,3 ) f 0,3 = 13.11% 94.90 = 1.13113) (1.09038)( 108 + 1.09038 8 = F
Background image of page 1

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

View Full DocumentRight Arrow Icon
3. A bond futures contract has one deliverable bond with a maturity date in 3 years from now have, par value of $100, and annual coupon of $8. If the futures delivery date is in 2 years, determine the futures price if (a) R 0,1 = R 0,2 = R 0,3 = R 0,4 = 8 percent. (b) R
Background image of page 2
Image of page 3
This is the end of the preview. Sign up to access the rest of the document.

This note was uploaded on 06/07/2011 for the course FIN 4243 taught by Professor Dudley during the Spring '08 term at University of Florida.

Page1 / 4

CH15 - CHAPTER 15 1. A bond futures contract with one...

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