sample_quiz_4_solutions[1]

Sample_quiz_4_soluti - Version Fin 536 Sample Quiz 4 Solutions Name Section Note You must review all potential topics for the quiz This sample quiz

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 Solutions 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 _ ___(floating/fixed) rate interest in the swap deal. If the market interest rate (Libor) rises later, the bank has a __loss_ __(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 _intrinsic value___ and __time value ___. 2. (Buy an option) Samuel Samosir works for Peregrine Investments in Jakarta, Indonesia. He focuses his time and attention on the U.S. dollar/Singapore dollar
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_soluti - Version Fin 536 Sample Quiz 4 Solutions Name Section Note You must review all potential topics for the quiz This sample quiz

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