NAME: STUDENT lD#
BRGCK UNEVERSETY
MBAB 5P43
instructor: Onem Ozocak
Midterm 2
June 19, 2006
Question 1 $10 marks)
You are a portfolio manager and observe the following bonds in the market:
Annual Coupon Rate Maturity in Years Price
Bond 1 6% 4 10
NAME: C ;Zl g A /_l 45 STUDENT ID#
BROCK UNIVERSITY
MBAB 5P43, Section 2
Instructor: Onem Ozocak
Exam 2
July 14, 2014
Question 1 (25 marks!
Consider three bonds with the following features on 01/08/99:
Price Co. Rate Maturity YTM Duration MD Convexity
Bon
FIXED-INCOME SECURITIES
Chapter 10
Swaps
Outline
Terminology
Convention
Quotation
Uses of Swaps
Pricing of Swaps
Non Plain Vanilla Swaps
Terminology: Definition
Agreement between two parties
They exchange interest payments
Computed on a notional princi
FIXED-INCOME SECURITIES
Chapter 3
Term Structure of Interest
Rates: Empirical Properties
and Classical Theories
Outline
Types of TS
Shapes of the TS
Dynamics of the TS
Stylized Facts
Theories of the TS
Types of Term Structures
The term structure of inter
FIXED-INCOME SECURITIES
Chapter 11
Forwards and Futures
Outline
Futures and Forwards
Types of Contracts
Trading Mechanics
Trading Strategies
Futures Pricing
Uses of Futures
Futures and Forwards
Forward
An agreement calling for a future delivery of an as
FIXED-INCOME SECURITIES
Chapter 6
Beyond Duration
Outline
Accounting for Larger Changes in Yield
Accounting for a Non Flat Yield Curve
Accounting for Non Parallel Shits
Beyond Duration
Limits of Duration
Duration hedging is
Very simple
Built on very
FIXED-INCOME SECURITIES
Chapter 4
Deriving the Zero-Coupon
Yield Curve
Outline
General Principle
Spot Rates
Recovering the Term Structure
Direct Methods
Interpolation
Last Time
The current price of a bond (P0) paying cash-flows Ft
is given by:
T
Ft
P0
(
FIXED-INCOME SECURITIES
Chapter 1
Bonds and Money-Market
Instruments
Outline
Overview of Bond Markets
Bond Characteristics
Floating-Rate Notes
Inflation-indexed bonds
Issuers of Bonds
Size of fixed-income markets
Government Bonds
Municipal Bonds
Mort
FIXED-INCOME SECURITIES
Chapter 2
Bond Prices and Yields
Outline
Bond Pricing
Time-Value of Money
Present Value Formula
Interest Rates
Frequency
Continuous Compounding
Coupon Rate
Current Yield
Yield-to-Maturity
Bank Discount Rate
Forward Rates
Bond Prici
FIRST (Given) NAME:
LAST (Family) NAME: STUDENT ID#
BROCK UNIVERSITY
MBAB 5P43
Instructor: Onem Ozocak
Midterm 1
If I cannot read what you write: I will assume that it is wrong and you will receive a mark
of zero for that guestion. This exam has eight gue