Homework 2

Homework 2 - US Problem 2 a.) U.S Bond $27.35 HK Bond...

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US HK 6.60% 7.45% Problem 2 1 2 3 4 a.) U.S Bond 6.6 6.6 6.6 6.6 $27.35 6.19 5.81 5.45 5.11 HK Bond $52.54 $212.87 0.93 0.87 0.81 0.75 c.) -0.02 -0.03 -0.03 $50.50 $50.07 $49.64 Problem 3 Contracts 0.37 $87,000,000.00 278.4 103.01 103 312500 Futures Price $1,256.27 1000 1100 1200 1300 Rate of Return -0.07 -0.04 -0.01 0.02 Portfolio $(5,965,300.00) $(3,390,100.00) $(814,900.00) $1,760,300.00 Future 1001.67 1101.83 1202 1302.17 Futures Position $6,555,888.06 $3,976,592.82 $1,397,297.57 $(1,181,997.67) $590,588.06 $586,492.82 $582,397.57 $578,302.33
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0.13 5 6.6 4.79 0.7 -0.04 $49.22 1400 0.05 $4,335,500.00 1402.34 $(3,761,292.92) $574,207.08
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Risk Free Rate 5% Months 0.17 Volatility 10% Dividends 0% Strike Stock PriceIntinsic ValuLower Bound 50 40 0 0.00 41 0 0.00 42 0 0.00 43 0 0.00 44 0 0.00 45 0 0.01 46 0 0.03 47 0 0.09 48 0 0.24 49 0 0.54 50 0 1.04 51 1 1.71 52 2 2.54 53 3 3.46 54 4 4.43 55 5 5.42 56 6 6.42 57 7 7.42 58 8 8.41 59 9 9.41 60 10 10.41 40 41 42 0 2 4 6 8 10 12 Intinsic V
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43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 Value Lower Bound
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This note was uploaded on 12/14/2011 for the course FIN 5515 taught by Professor Staff during the Spring '10 term at FSU.

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Homework 2 - US Problem 2 a.) U.S Bond $27.35 HK Bond...

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