AK/ADMS4504A
Assignment #2 Solutions
Fall 2008
Question 1 (20 marks)
Use the daily yields in the following table (see next page) to compute a daily
standard deviation of yields. Next annualize the dai
AP/ADMS4504
Assignment #1 Solutions
Winter 2011
Question 1 (21 marks)
This question has three independent parts, (a), (b), and (c).
(a) You are given the following information: a 0.5-year zero-coupon
AP/ADMS4504
Assignment #2 Solutions
Winter 2011
Question 1 (Interest rate forecasting) (26 marks)
Assume that we are in December 2009 and try to make forecasts of the five year
interest rate at the en
AP/ADMS4504 Midterm Exam Name Section ID #
Fall 2010
AP/ADMS 4504 Fixed Income Securities and Risk Management
Midterm Exam - Solutions Fall 2010
This exam consists of 30 multiple choice questions and
AP/ADMS4504 Assignment #1 Winter 2011 Instructions: (1) This assignment is to be done individually. You must sign and submit the standard cover page supplied as the last page of this assignment. This
Name
ID #
AK/ADMS4504A
Fixed Income Securities and Risk Management
Final Exam
Fall 2007
December 13, 2007
Type A Exam
This exam consists of 50 multiple choice questions and carries a total of 100
poin
AP/ADMS 4504 Sections M&N
Assignment #1
Winter 2015
Instructions:
(1)
(2)
(3)
(4)
(5)
(6)
(7)
This assignment is to be done individually. You must sign and submit
the standard cover page supplied as t
AP/ADMS 4504A
Assignment #1 Solutions
Fall 2013
Question 1 (25 marks)
This question has three related parts, (a), (b), and (c).
A three year 5% coupon payable semiannually $100 par TIPS is selling at
Chapter 2 Risks Associated with Investing in Bonds
1
Plan of the lecture
Risks associated with investing in bonds Interest rate risk Yield curve risk Call and prepayment risk Credit risk Sovereign r
AK/ADMS4504A
Assignment #2
Fall 2008
Instructions:
(1)
(2)
(3)
(4)
(5)
(6)
(7)
This assignment is to be done individually. You must sign and submit
the standard cover page supplied as the last page of
Chapter 1 Features of Debt Securities
1
Plan of the lecture
Basic features of a bond Bond covenants Coupon rate structures Floating rate securities Accrued interest Options embedded in a bond Borrow
ADMS4504 Winter 2009
Final exam solutions
AK/ADMS4504
Fixed Income Securities and Risk Management
Final Exam Solutions
Winter 2009
32 Numerical Questions (2 points each)
1. (Q. 6 in B) Consider a 7-ye
School of Administrative Studies Faculty of Liberal Arts and Professional Studies
Fixed Income Securities and Risk Management
Course Number: AP/ADMS4504 Term: Winter 2011 Course Outline
Instructor: Pr
Chapter 3 Overview of Bond Sectors and Instruments
1
Overview of the sectors of the bond market
Bond market sectors Internal (national) bond market
Domestic bond market
Sovereign bonds Agency bonds Mu
Test Bank Key
1.
(p. 361)
The types of skills that are required to prepare an effective strategic case analysis can benefit you in
actual business situations.
TRUE
Dess - Appendix Analyzing. #1
2.
(p.
AP/ADMS 4504 Fixed Income
Midterm Exam Solutions Winter 2013
School of Administrative Studies
Faculty of Liberal Arts and Professional Studies
York University
AP/ADMS 4504
Fixed Income Securities and
Solution to in-class exercise 1
Reference rate Coupon rate
First reset date
4.50%
5.10%
Second reset date
5.00%
5.50%
Third reset date
4.85%
5.45%
cap
1
Solution to in-class exercise 2
Reference rate
AP/ADMS 4504A Fixed Income
Midterm Exam Solutions Fall 2014
School of Administrative Studies
Faculty of Liberal Arts and Professional Studies
York University
AP/ADMS 4504A
Fixed Income Securities and
Solution to in-class exercise 1
a) Bythe definition of duration, bond price
decreases approximately by 6%,
i.e., -6 (7.5% 6.5%) 6 % 6%
1
b) Bond price increases roughly by 3.75%,
i.e., -7.5 (9.9% -10.
AP/ADMS 4504 Sections N and M
Assignment #1 Solutions
Winter 2014
Question 1 (16 marks)
This question has two related parts, (a) and (b).
Consider the following three Treasury strips: strip 1: 0.5-yea
AP/ADMS 4504 Section A
Assignment #1 Solutions
Fall 2014
Question 1 (25 marks)
This question has four related parts, (a), (b), (c), and (d).
A five year step-up note pays coupons semiannually and has
Writing Style Required for AP/ADMS4504 Assignments
As a general rule, you should first write down formulas used and show
substitutions of parameter values into the formulas before reaching your final
Chapter 5
Introduction to the
Valuation of Debt
Securities
(Supplementary slides)
1
Valuation models
The binomial model is used to price
bonds with embedded options (e.g., call
and put options etc.)
S
Solution to in-class exercise 1
a) By the definition of duration, bond price
decreases approximately by 6%,
i.e. -6 (7.5% 6.5%) -6 % 6%
1
b) Bond price increases roughly by 3.75%,
i.e. -7.5 (9.9% -10.
AP/ADMS 4504 Fixed Income
Midterm Exam Solutions Winter 2013
School of Administrative Studies
Faculty of Liberal Arts and Professional Studies
York University
AP/ADMS 4504
Fixed Income Securities and
Solution to in-class exercise 1
AnswerC
1
Solution to in-class exercise 2
yield on bond X
Yield ratio
1.0833
yield on the reference bond
yield on bond X
Yield on the reference bond
1.0833
6.5%
6%
1
School of Administrative Studies
Faculty of Liberal Arts and Professional Studies
York University
AP/ADMS 4504 A & B
Fixed Income Securities and Risk Management
Midterm Exam Formula Sheet
Coupon = cou
AP/ADMS 4504 Sections A & B
Assignment #2
Fall 2017
Instructions:
(1)
(2)
(3)
(4)
(5)
(6)
This assignment is to be done individually. You must sign and submit
the standard cover page supplied as the l
School of Administrative Studies
Faculty of Liberal Arts and Professional Studies
Fixed Income Securities and Risk Management
Course Number: AP/ADMS 4504 A & B
Term: Fall 2017
Course Outline
Instructo
AP/ADMS 4504 A & B Fixed Income
Midterm Exam Solutions Fall 2017
School of Administrative Studies
Faculty of Liberal Arts and Professional Studies
York University
AP/ADMS 4504
Fixed Income Securities
AP/ADMS 4504 A & B
Assignment #1 Solutions Fall 2017
AP/ADMS 4504 Sections A & B
Assignment #1 Solutions
Fall 2017
Question 1 (18 marks)
This question has three independent parts, (a), (b), and (c).
(