INVESTMENT MANAGEMENT
AND PORTFOLIOTHEORY
Fall 2015
Solution Homework 9
Swap Rate
1. Following are the spot (20th November 2015) and six month forward
LIBOR rates for 5 years
0.6%, 0.9%, 1.2%, 1.35%, 1.5%, 1.75%, 2.0%, 2.25%, 2.5%, 3%
a. What is the 5 yea
INVESTMENT MANAGEMENT
AND PORTFOLIO THEORY
Fall 2015
Solution Homework 8
EFFICIENT FRONTIER
1. Use Yahoo Finance to download weekly prices of the following stocks
from 20th November 2010 until 20th Nov. 2015
GE (General Electric, Industrial), PFE (Pfizer,
INVESTMENT MANAGEMENT
AND PORTFOLIO THEORY
Fall 2015
Solution Homework 6
EQUITY
1. Company ABC pays an annual dividend of $1. If the market
capitalization rate of this company is 8% calculate the following:
a. What should be the stock price using Dividend
INVESTMENT MANAGEMENT AND PORTFOLIO THEORY
Fall 2015
Solution Homework 5
DURATION
1. A Consider a portfolio consisting of the following bonds:
Bond
Bond A
Bond B
Bond C
No
500
1000
1500
Face value
$2,000
$1,000
$1,000
Maturity
2 Years
5 Years
10 Years
Cou
HW5 DURATION
Bond A
No. of Bonds
face value
Coupon
Frequnecy
Price
Yield
Period
1
2
3
4
5
6
7
8
Value of
500
$2,000.00
2.00%
4
Bond B
No. of Bonds
face value
Coupon
Frequnecy
Price
Yield
$1,004,902.98
$2,009.81 Modified
1.7500%
Duration
1.9571
Dscnted
dur
INVESTMENT MANAGEMENT AND PORTFOLIO THEORY
Fall 2015
Solution Homework 2
DAY COUNT AND PRICING OF FORWARDS
1. Suppose on 9/1/2015 your company borrows $100,000,000 for 5
years.
a. If the interest rate is 6% quarterly money what will be the dates
and amoun
INVESTMENT MANAGEMENT & PORTFOLIO THEORY
Fall 2015
Solution Homework 4
1. Yield and Frequency
Consider a 5 year bond with face value of 100 and price of 101 that has a
coupon of 6%. What is the yield of this bond if the coupon is paid?
a. Annually
Yield
5
INVESTMENT ANALYSIS AND PORTFOLIO THEORY
Fall 2015
Solution Homework 10
OPTION PAYOFF
1.
Option Strategies
Following are June call and put options on Pfizer (PFE) whose price is
$31.10
CALLS
Strike
23
24
25
26
27
28
29
30
31
32
33
34
35
37
38
a.
Puts
Prem