Homework 1.2 T-Bill Pricing and a Repurchase Agreement
I.
Consider the Treasury bill below with principal of $1,000,000, where today is 13
January 2016:
1.
Using the T-bill pricing equation find the bid and asked prices and the
bid-asked spread
Bidprice=$
Course Information
Instructor:
Prof. Yuval Bar-Or
Email: [email protected]
Teaching Assistant:
TBD
Textbook: Tuckman and Serrat (2012), Fixed Income
Securities: Tools for Todays Markets (3rd Edition), Wiley
& Sons, Inc. For next week, Read and be ready to
d
Quiz 1 Solutions, F2
1. The spot rates for 1 year and 2 years are 4% and 5%, respectively. What is
the 1-year rate 1-year forward?
a.
b.
c.
d.
5.01
4.56
6.01
9.61
(1.04)(1+f) = 1.05^2
Answer (c)
2. An upward sloping term structure implies, for the most pa
Global Equity Market Capitalization
Global Equity Market Capitalization
1995
1995
$17.8 Trillion
$17.8 Trillion
UK
8%
Emerging Markets
11%
Japan
21%
US
38%
Source: Standard and Poor's Global Stock Market Factbook,
World Federation of Exchanges, European C
Lecture 5: The Art of Term Structure Models: Drift
& Volatility (How do We Get the Rate Tree?)
1.Introduction
2.Normally Distributed Rates and No Drift (Model 1) (Ch 9)
3.Drift and Risk Premium (Model 2)
4.Ho-Lee Model: Time-Dependent Drift
5.Vasicek Mode
Lecture 3: Measures of Interest
Rate Risk and Hedging
0. Quiz 1
1.Introduction
2.DV01 Dollar Value of 01
3.Modified Duration
4.Macaulay Duration
5.Convexity
6.Price Sensitivity of a Bond Portfolio
Fixed Income
1
Lecture 3: Agenda, continued
7.Key Rate Dur
The Case for International Fixed Income
June 2015
Introduction
Investing in fixed-income securities outside of the United
States is often perceived as a riskier strategy than deploying
those assets domestically, especially with the introduction of
curre
2015 FACT BOOK
2015
FACT BOOK
Produced by
SIFMA Research Department
Copyright 2015 by the Securities Industry and Financial Markets Association
120 Broadway, FL 35
New York, NY 10271-0080
(212) 313-1200
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The report is sub
Quiz 1 Solutions, F2
1. The spot rates for 1 year and 2 years are 4% and 5%, respectively. What is
the 1-year rate 1-year forward?
a.
b.
c.
d.
5.01
4.56
6.01
9.61
(1.04)(1+f) = 1.05^2
Answer (c)
2. An upward sloping term structure implies, for the most pa
Chapter 2
2.1 You invest $100 for two years at 2% compounded semiannually. How much do you
have at the end of the two years?
A.
Since two years are 4 semiannual periods,:
4
2%
100 1
104.0604
2
2.2 You invested $100 for three years and, at the end of
BU.232.720.SP176 Fixed Income Quiz # 1 Example
Please answer 3 (and only 3) of the following 6 short-answer questions.
1) Consider banks and non-bank sources of credit: While U.S. credit sources are more or less equally divided between
bank loans and the
Lecture 7: Mortgages & Mortgage
Backed Securities
(and Bond Options)
The Fixed Income Option chapter (Chapter 18) is highly technical. Given the limited time
available, you should read the chapter but our focus will be on Chapter 20
1. Mortgage Loans
2. F
Lecture 4: Interest Rate Models & Applications I
1.Introduction
2.Interest Rates and Price Trees
3.Risk Neutral Pricing
4.Arbitrage Pricing of Derivatives
5.Arbitrage in Multi-Period Setting
6.Interest Rate Swaps
7.Option Adjusted Spreads
8.Reduced Time S
Equation List for Money and Bond Markets
I. For discount money market instruments (T-bills, CP, BAs, etc. with financial year convention):
t
1. Pricing: P = F 1 d
360
2. Discount earned: D = F P = dF
t
360
P 360
3. Bank discount yield: d = 1
= BDY
F t
February 1, 2002*
Federal Reserve Bank of Cleveland
Legal Systems and Bank Development
by O. Emre Ergungor
W
hat promotes economic development? The question has puzzled economists for years. Recent research suggests
that a countrys financial system plays
BU.232.720: Fixed Income
Class 1-2: The Relative Pricing of
Securities with Fixed Cash Flows
Prof. R. Philip Giles
Fabozzi, Chapter 2:
Pricing of Bonds
BU.232.720 Sp 16
Prof. R. Philip Giles
2
Bond Pricing Relationships
BU.232.720 Sp 16
Prof. R. Philip Gi
BU.232.720: Fixed Income
Class 1-1: Fixed-Income Overview:
Markets and Instruments
Prof. R. Philip Giles
The Credit Intermediation Process
BU.232.720 Sp 16
Prof. R. Philip Giles
2
The Intermediated Market
In the past most credit was provided by bank terme
Homework 1.1 T-bond Prices and Yields
I.
Consider the Treasury bonds below with principal of $1,000,000, where today is
13 January 2016:
1. Find the bid and asked prices and the bid-asked spread for Bond 1
Bidprice=$_
Askedprice=$_
BidAskedspread=$_
2. Us
Homework 1.1 T-bond Prices and Yields-Answers
I.
Consider the Treasury bonds below with principal of $1,000,000, where today is
13 January 2016:
1. Find the bid and asked prices and the bid-asked spread for Bond 1
Bidprice=$1,030,703.00
Askedprice=$1,031,
Homework Answer 1.2 T-Bill Pricing and a Repurchase Agreement
I.
Consider the Treasury bill below with principal of $1,000,000, where today is 13
January 2016:
1.
Using the T-bill pricing equation find the bid and asked prices and the
bid-asked spread
Bid
Short-Term Interest Rates as Predictors
of Inﬂation
By EUGENE F. FAMA*
Irving Fisher pointed out that with
perfect foresight and a well-functioning
capital market, the one-period nominal
rate of interest is the equilibrium real re-
turn plus the fully ant
Lecture 4: Interest Rate Models & Applications I
1.Introduction
2.Interest Rates and Price Trees
3.Risk Neutral Pricing
4.Arbitrage Pricing of Derivatives
5.Arbitrage in Multi-Period Setting
6.Interest Rate Swaps
7.Option Adjusted Spreads
8.Reduced Time S
Users' Guide to Excel's Financial Functions
Function
ACCRINT
Application
17.1875
2/14/2003
5/15/2030
2
1
Bonds
Days in the coupon period containing the settlement
date
settlement
maturity
frequency
basis
Bonds
Next coupon date after the settlement date
Bo