In way one, I assumed that we are at T=0.25so my time line starts at 0.25 and ends at 2.5
r2(0) = 4.2%
40 basis paid semiannually.
Model as a portfolio of a floater and Zeros
1, need Pfr at t=0.25
Dis
End of Day
1
2
3
Quoted
Futures
Price
96.42
96.25
96.65
96.93
Daily Gain Cumulative
or Loss
Gain or
Loss
425.00
-1,000.00
-700.00
425.00
-575.00
-1,275.00
Margin
Account
Balance
1,500.00
1,925.00
925.
Quiz #2 Winter 2012
Question #1: Change in Value of Portfolio using Duration and Convexity
P
W
D
C
w*D
w*C
7yr @ 2%
78.77
40%
6.5071
44.3923
2.60284 17.75692
semi
3.25yr
103.16
30%
0.2717
0.1194
0.081
Ryerson University
FIN 611 Fixed Income Securities
Midterm Exam
Winter 2014
There are 2.0 hours in this exam.
Version A Answer Key
Student Name
_
(Please Print)
Student Number
_
Notes:
1.
2.
3.
4.
5.
Quiz Question
Consider a 4-year leveraged inverse floating rate
bond with the following coupon rate: c(t) = 24%2.4*r(t-0.5). This coupon is paid semi-annually,
in arrears. So the dollar coupon at eac
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5: 79
E: 52
FIN611
FixedIncomeAnalysis
WINTER2015
Prerequisite &/or Exclusions: FIN 501
COURSE REPEATS:
Academic Council GPA policy prevents students from taking a course more than three times.
(i.e., registered
CHAPTER#1: Whats the return on capital for a trader who entered into a one-monthrepo where Pt = 98.5, PT = 99.01, Repo= 5% and haircut= 0.8? ANS= return on
capital 0.13/ Whats the profit for a trader
Problem Set #1
Due: In Class, February 3rd, 2016
Please hand in complete, neat, well formatted solutions to the problem set,
showing all your work. These can be done by hand or in Excel I would
sugges
FIN611 Midterm Exam Winter 2012 1. A trader wants to take a short position in an on-the-run 20-year US Treasury bond with a $5,000,000 face value. The trader plans to enter into a 30-day reverse repo
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In this series of white
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Topic
Interest Rate Risk Management
Assume that a client has bought an annuity from
your financial institution that agrees to pay
$28,767 every 6 months for 30 years.
The term structure is flat at 4% per
Duration Hedging Strategy
Consider a $100 (face value) 10-year bond that
pays a 5% semi-annual coupon
P = $103.58
D = 8.03
C = 73.87
We want to hedge against small parallel shifts of
the term str
Quiz Question
Consider a 4-year leveraged inverse floating rate
bond with the following coupon rate: c(t) = 24%2.4*r(t-0.5). This coupon is paid semi-annually, in
arrears. So the dollar coupon at each
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Quiz #4
Question #1: Binomial Tree - Repliating Portfolio
i
t
0
0
2.00%
1
0.5
4.00%
1.00%
Value Tree for 1-year zero
97.479
98.02
99.50
Option Payoffs
rk=
2.50%
N2 =
N1=
with probability p = 0.5
with
Duration Hedging Strategy
Consider a $100 (face value) 10-year
bond that pays a 5% semi-annual coupon
P = $103.58
D = 8.03
C = 73.87
We want to hedge against small parallel
shifts of the term str