Debt and Money Markets
Professor Lee
Problem Set 3: Exercises for Term Structure
Name:
UFID:
Jeremy Ong
8790-8321
Exercise#1 Bootstrapping spot zero rates
$100 par of a 0.5-year 8%-coupon bond has a p
CHAPTER 7
1.
Assume that the one-period spot interest rate is 3 percent and
the two-period spot interest rate is 6 percent. Answer the
following questions:
(a) What is the present value of $100 receiv
University of Florida
Warrington College of Business
Debt and Money Markets
Professor: Jongsub Lee
Exercises for Term Structure
Solutions
1) Bootstrapping spot zero rates
$100 par of a 0.5-year 8%-cou
UNIT 6 Practice Problem Set - ANSWERS 1)Asset Stock A Stock B Risk-free Expected return 15% 10% 5% Standard deviation 60% 30%
The correlation coefficient between stock A and B is 10%. Find the equatio
University of Florida Warrington College of Business Administration
FIN4243 Debt & Money Markets Instructor: Jongsub Lee Fall 2010
Final Examination: Total 100 points Time Limit: Maximum 2 hours
Name:
FIN 4243 Homework #1 Due on 9/14/2009 1. Give three reasons why the maturity of a bond is important.
2. A pension fund manager knows that the following liabilities must be satisfied: Years from Now Li
Debt and Money Markets
Professor Lee
Problem Set 5: Forward and Swap
Please do all calculations in Excel.
Name: Michael Bennett
UFID: 14139321
Question 1
Use the data below:
STRIPS
Maturity
Ask Rate
B
University of Florida
Warrington College of Business
Debt and Money Markets
Professor: Jongsub Lee
Exercises for Bond Pricing, Yield-to-Maturity, and Rate of Return
Solutions
1) Amortization
A debt of
FIN 4243 Practice Midterm Fall 2009 Solution
Part I. Multiple Choice (Total 50 pts or 2 pts each) 1. The current price of a bond is 102.50. If interest rates change by 0.5%, the value of the bond pric
FIN 4243 Fall 2009 Midterm Solution (Version A)
Name: UFID: Section (circle one): 3027 or 3038
DO NOT BEGIN UNTIL YOU ARE TOLD TO DO SO.
1
Part I. Multiple Choice. 2.5 points per question. (Total 50 p
Debt and Money Markets
Professor Lee
Solutions to Problem Set 5: Forward and Swap
Question 1
Use the data below:
STRIPS
Maturity
Ask Rate
Bid Rate
Ask Price in Bid Price
Decimal
in Decimal
0.5
5.29%
5
FIN 4243 Practice Midterm Fall 2009 Due on 10/5/2009
Name: UFID: Useful Formula Time Value of Money Future Value Single CF Present Value
Multiple CFs
Annuity
Bond Pricing Formula Coupon Bond Zero-coup
PROF. LIVINGSTON
FIN 4243
EXAM 2
FALL 2012-CODE A
1 . Assume that the prices of one-year, two-year, three-year, and four-year strips with
$100 par values are $99.20, $98.00, $97.20, $96.30. What is th
Chapter 11
Put and Call
Options
11-1
Call Options
A call option is the right to buy an
underlying security at an exercise (strike)
price during a stated time interval.
C = Market value of the call opt
Bond Pricing:
Flat Term Structure
Instructor: Jongsub Lee
Interest Rates for Different Maturities
Interest rates for different maturities are in general different
For example, interest rate that we us
Chapter 7
Non Flat Term
Structure
Notation
uR0,1 = the spot interest rate observed at
time 0 (first subscript) and lasting one
period of time.
uR0,2 = the spot interest rate observed at
time 0 (first
DEBT AS PERCENT OF GDP
120%
100%
80%
60%
40%
20%
0%
U.S. Government Securities
Municipal Securities
Corporate and Foreign Bonds
Mortgages
Consumer Credit
TOTAL DEBT AS PERCENT OF GDP
350%
300%
250
FINANCE 4243 NAME
PROFESSOR M. LIVINGSTON
1.
Which of the following is a correct statement?
A.
B.
C.
E.
2.
FALL 2013- FIRST EXAM - A
U.S. Treasury debt as a % of Gross Domestic Product was very high a
uSuppose that a particular stock is
selling for $53 on the New York Stock
Exchange and simultaneously selling
for $50 on the Pacific Coast stock
exchange.
uOn arbitrageur can simultaneously buy
on the
CREDIT DEFAULT SWAPS
AND CLEARINGHOUSES
1
Quarterly Payments for 5-Year CDS
0
.25 .50 .75
y
4
y
4
y
4
1
y-1
y
4
y
y
4
5
Years
Default
Y = Quoted Annual Rate
2
Investor K Buys Pro
BOND ISSUERS
The United States Treasury
The U.S. Treasury performs primarily the
following func9ons.
Collects taxes.
Pays the bills of the government.
There is a decit i
Chapter 15
Bond Futures
15-1
Treasury Bond Futures
0
Delivery date
n
at least 15 years
$100,000 par
per contract
15-2
Cheapest to Deliver
There are many deliverable bonds.
This prevents anyone from bu
Chapter 13
Mortgages
13-1
Mortgages
Standard Fixed Rate
Variable Rate
Refinancing and Prepayments
Marketable Mortgages
13-2
Fixed Rate Mortgage
0
1
2
n
P
M
M
M
M
M
M
P=
+
+!+
2
1 + y (1 + y)
(1 + y)n
Chapter 4
Time Value of Money
4-1
Example of a Time Line
Points in time
0
1
1
2
2
3
3
Time
Periods
4-2
Flat Term StructureOne
Period
Time Line
0
1
1
1+R
1
1.10
4-3
Flat Term StructureTwo
Periods
Time