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
925.00
225.00
Margin Call
1,275.00
Spot Curve
Shift
Initial
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
Discount from t(.5) to T(.25)
Need Cum-coupon price at t(.
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 payment
date is given by: $coupon = c(t) / 2 * 100.
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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 initially, repeated once, repeated twice = 3 registrati
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.
6.
This is a closed book exam. You may only have pens,
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
suggest Excel. If you hand in an Excel spreadsheet please not
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 transaction at a quoted repo rate of 2.4%. The initial
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The high-performance CFO
October 2012
In this series of white
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Unlocking
Potential:
Finance effectiveness
benchmark study 2013
October 2013
Todays top tier finance
functions are increasingly
called upon to fill diverse roles.
In addition to their traditional
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duties, todays modern finance
grou
Page
Home
Introduction
Revenue
recognition
Profitability
management
Fixed assets
Tax
Performance
management
On the horizon
Insights into the Cloud for finance and
accounting professionals
December 2013
Summary
Cloud
resources
Page
Home
Revenue
recognition
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Finance transformation:
A Lean approach to
increase value
Management Consulting
Lean Finance
June 2013
Assessing the situation
Put down the report. Close the laptop. Walk around your finance and
accounting offices and youll see, hear, and fee
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 structure.
We will need to enter into a position in an
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Innovation champions:
How CFOs can keep
companies vital
July 2013
In this series of white
papers, PwC and faculty
at Wharton focus on how
CFOs can build highperforming finance teams.
Topics include attracting
and motivating the
right talent; l
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 year
compounded semi-annually.
The client pays you $1,
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 who entered into a one-week reverse repowhere Pt = 99.4
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 payment
date is given by: $coupon = c(t) / 2 * 100.
As
Q1
Input
Days
Discount
Price
241
1.003%
99.33
Q2
p15
Input
Days
P(t)
P(T)
Repo rate
haircut
30
98.50
99.01
5%
0.80
Repo interest
Ret.on Capital
0.41
12.86%
Q3
p84
Dollar Duration P(floating,0,4)
50
Note: Duration of floating rate bond is the first reset d
Getting it right
with growth:
How to be a great
CFO in the new
growth economy
As companies focus on
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Officers are now assuming
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are expected to deliver
real insight to the C-suite.
Reporting and closing
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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 probability (1-p) = 0.5
1.5
0
-1.012569
1.0075
Question
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 structure.
We will need to enter into a position in an
ad