FI 4200
Final Exam Questions
2 In the futures industry all positions are marked to the market based on the daily
settlement price. What is marking to the market? What does this mean?
What is the proce
Futures Fair Valuation
Valuation of a 6 month futures contract on gold.
We will assume there are no other costs other then interest income or
charges
FV = S e rt
S = 1000
r = 10%
t = 6 mos = .5
FV = 1
Please answer all questions. Each part of question 1 is worth 2 points, question 2 is worth 2 points, and
question 3 is worth 4 points (for a total of 10 points).
1. Core concepts question
(a) What is
1- 12. If taxable income is $300,000, then they would pay taxes as follows (note that the
5 percent surtax on taxable income between $100,000 and $335,000 is added to
the 34% marginal tax paid, result
Duration Inputs
N
10
CF
45
i
0.04
YTM
0.08
P 1040.55
FV 1000.00
Period
t
Cash Flow PV of CF Product
*Calculation of Macaulay Duration for a 9% s
CFt
PV(CFt) PV(CFt) x t
1
45.00
43.27
43.27
2
45.00
41.
Homework Assignment #1
Due Date: To be collected at the start of class, August 21, 4:30pm
Hi Class,
This is the follow up email that I mentioned in my introductory email, wherein I
am now attaching Ho
Fi 4200
Homework Assignment No. 1
(Please do all work independently; due date Monday 8/21/2017)
The purpose of this assignment is to have you construct an excel spreadsheet
that will calculate the dur
Alexandra Capezzuto
Fi 4200
Problem 1
Maturity (years)
Face Value
Coupon rate
YTM
Frequency
Current Market Value
Coupon payment (semiannual)
5
1000
9.00%
8.00%
2
$1,040.55
$45.00
4.50%
4.00%
Period
t
Introduction
Types of Hedges
Imperfect Hedging
Stock Index Futures
Chapter 3: Hedging Strategies Using Futures
Introduction
Types of Hedges
Imperfect Hedging
Stock Index Futures
Objective of chapter
O
Introduction
Futures and Forwards
Options
Chapter 1: Introduction
Types of Traders
Arbitrage
Introduction
Futures and Forwards
Options
Types of Traders
Objective of class
What is the objective of this
FI 4200
Quiz VI
Dec 1. 2016
Name:
1. To value derivatives using the BSF , you must create a distribution curve for the underlying asset in
question. How is the mean of the distribution curve determine
Single Stock Futures
You are a hedge fund manager. One of the stocks you trade is XYZ. On your computer screen
you see the following
XYZ
=65/sh
The 3 month future is trading at 65.35.
You think there