sample_quiz_4[1]

sample_quiz_4[1] - Version Fin 536 Sample Quiz 4 Name_...

Info iconThis preview shows pages 1–2. Sign up to view the full content.

View Full Document Right Arrow Icon
Version Fin 536 Sample Quiz 4 Name____________ Section________ Note: You must review all potential topics for the quiz. This sample quiz does not cover all testable topics. 1. Fill out the answers. a. (Interest rate swap) National Bank has $200b Adjustable Rate Mortgage (ARM) as assets on its balance sheet. The interest rate on the ARM is typically 5%+Libor. The bank is considering hedging risk in the interest income from the ARM with a three-year interest rate swap. The bank should be paying ______________(floating/fixed) rate interest in the swap deal. If the market interest rate (Libor) rises later, the bank has a ______________ (loss/gain) in the swap trading. b. (Greek letters) List the signs of the following Greek letters of options on euro. Greek letter Call Put Δ ρ . c. The two components of options premiums are the ________________ and ________________. A call option on euro with a strike price of $1.25/€ is selling for $0.20/€ on the market. If the current spot rate of euro is
Background image of page 1

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

View Full DocumentRight Arrow Icon
Image of page 2
This is the end of the preview. Sign up to access the rest of the document.

This note was uploaded on 09/06/2011 for the course FIN 536 taught by Professor Staff during the Spring '11 term at S.F. State.

Page1 / 2

sample_quiz_4[1] - Version Fin 536 Sample Quiz 4 Name_...

This preview shows document pages 1 - 2. Sign up to view the full document.

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