Chapter 22 - Futures Markets
Chapter 22
Futures Markets
Multiple Choice Questions
1. A futures contract
A. is an agreement to buy or sell a specified amount of an asset at the spot price on the
expiration date of the contract.
B. is an agreement to buy or

FNCE 4820 Fall 2015
David M. Gross Ph.D.
Bond Duration, Convexity and Estimated Price Change - Due Friday September 25 before Midnight
This is individual work. You may not work with other students. You may only work alone.
The goal of this assignment is t

Georgian American University
Business Modeling
Final Exam 1
Name _
1. The WorldLight Company produces two light fixtures (products 1 and 2) that require both metal frame parts and electrical
components. Management wants to determine how many units of each

Chapter 14 - Bond Prices and Yields
Chapter 14
Bond Prices and Yields
Multiple Choice Questions
1. The current yield on a bond is equal to _.
A. annual interest payment divided by the current market price
B. the yield to maturity
C. annual interest divide

Chapter 26 - Hedge Funds
Chapter 26
Hedge Funds
Multiple Choice Questions
1. _ are the dominant form of investing in securities markets for most individuals but
_ have enjoyed a far greater growth rate in the last decade.
A. Hedge funds; hedge funds
B. Mu

GAU
Business School
Fixed Income Mathematics
Lecturer: Prof. T. Toronjadze
Class No. 5
Part II. Bond Pricing for Option-Free Bonds and
Conventional Yield Measures
Conventional Yield and Spread Measures for Bonds
In the previous chapter, we explained how t

GAU
Business School
Fixed Income Mathematics
Lecturer: Prof. T. Toronjadze
Class No. 6
Part II. Bond Pricing for Option-Free Bonds and
Conventional Yield Measures
The Yield Curve, Spot Rate Curve, and
Forward Rates
Up to this point, we know the basic prin

GAU
Business School
Fixed Income Mathematics
Lecturer: Prof. T. Toronjadze
Class No. 7
Part III. Return Analysis
Potential Sources of Dollar Return
To make an intelligent decision about the attractiveness of a bond, an investor must be
able to measure the

GAU
Business School
Fixed Income Mathematics
Lecturer: Prof. T. Toronjadze
Class No. 8
Part III. Return Analysis
Total Return
In the previous chapter, we explained the three potential sources of dollar return from
investing in a bond. We also demonstrated

GAU
Business School
Fixed Income Mathematics
Lecturer: Prof. T. Toronjadze
Class No. 12
Part IV. Price Volatility
for Option-Free Bonds
Combining Duration and Convexity to Measure
Price Volatility
Were now ready to tie together the price/yield relationshi

Chapter 5 Factors Affecting Bond Yields and The Term Structure Of Interest Rates
1. Following are U.S. Treasury benchmarks available on December 31, 2007:
US/T 3.125 11/30/2009
3.133
US/T 3.375 11/30/2012
3.507
US/T 4.25 11/15/2017
4.096
US/T 4.75 02/15/2

GAU
Business School
Fixed Income Mathematics
Lecturer: Prof. T. Toronjadze
Class No. 9
Part III. Return Analysis
Measuring Historical Performance
In the previous two chapters we looked at the potential dollar sources of return from
investing and the poten

GAU
Business School
Fixed Income Mathematics
Lecturer: Prof. T. Toronjadze
Class No. 3
Part I. TIME VALUE OF MONEY
Yield (Internal Rate of Return)
In the previous chapter we showed how to use present value to determine whether a
nancial instrument provide

GAU
Business School
Fixed Income Mathematics
Lecturer: Prof. T. Toronjadze
Class No. 1
Part I. TIME VALUE OF MONEY
Future Value
The notion that money has a time value is one of the most basic concepts in nancial
analysis. Money has a time value because of

GAU
Business School
Fixed Income Mathematics
Lecturer: Prof. T. Toronjadze
Class No. 2
Part I. TIME VALUE OF MONEY
Present Value
In the previous chapter, we illustrated how to compute the future value of an investment.
In this chapter, we show how to work

GAU
Business School
Fixed Income Mathematics
Lecturer: Prof. T. Toronjadze
Class No. 4
Part II. BOND PRICING FOR OPTION-FREE
BONDS AND CONVENTIONAL YIELD
MEASURES
The Price of a Bond
In Chapter 4 we explained that the price of any nancial instrument is eq

1. The Swelte Glove Company manufactures and sells two products. The company makes a profit of $12 for each
unit of product 1 sold and a profit of $4 for each unit of product 2. The labor-hour requirements for the products in
each of the three production

GAU
Business School
Fixed Income Mathematics
Lecturer: Prof. T. Toronjadze
Class No. 10
Part IV. Price Volatility
for Option-Free Bonds
Price Volatility of Properties of Option-Free Bonds
To implement eective portfolio trading and risk-control strategies,

GAU
Business School
Fixed Income Mathematics
Lecturer: Prof. T. Toronjadze
Class No. 16
Part V. Analyzing Bonds with Embedded Options
Valuation and Price Volatility of Bonds with
Embedded Options
Now that we understand the fundamental characteristics of o

GAU
Business School
Fixed Income Mathematics
Lecturer: Prof. T. Toronjadze
Class No. 13
Part IV. Price Volatility
for Option-Free Bonds
Duration and the Yield Curve
As we explained in Chapter 8, the yield curve describes the relationship between maturity

Years
Years
Coup Rate
YTM
Face
Price
20
10%
10%
$1,000
$1,000
Note that the
inputs for this
calculator is the
mauturity in
years so you must
use "PV()"
function to
compute the
Bond price.
1%
2%
3%
4%
5%
6%
7%
8%
9%
10%
11%
12%
13%
14%
15%
16%
17%
18%
19%

Chapter 6 - Treasury and Federal Agency Securities
1. What are the differences among a Treasury bill, Treasury note, and Treasury bond?
Treasury bills are securities issued with a maturity of one year or less and are discount
securities. They are issued a

Chapter 4 Bond Price Volatility
1. The price value of a basis point will be the same regardless if the yield is increased or decreased
by 1 basis point. However, the price value of 100 basis points (i.e., the change in price for a 100basis-point change in

FNCE 4820 Fall 2015
David M. Gross Ph.D.
Bond Price, Yield and Total Return Calculations - Due Friday September 18 before Midnight
This is individual work. You may not work with other students. You may only work alone.
The goal of this assignment is to us

Chapter 3 Measuring Yield
2. What is the effective annual yield (EAY) if the semiannual periodic interest rate is 4.3%?
Periodic rate = r = 4.30%
m=2
EAY = (1 + r)m 1 = (1.0430)2 1 = 8.7849%
3. What is the yield to maturity of a bond?
The YTM is the disco

Chapter 2 - Pricing of Bonds
3. Answer the below questions.
Bonus Questions: For parts (a) and (b) compute the Wealth Index, HPR, Annual HPR,
Geometric Mean Return and for part (b) the EAR.
(a) The portfolio manager of a tax-exempt fund is considering inv