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consider a currency swap with but two payment dates which are one year apart and no exchange of notional principals on
explain how a swaption can be terminated at expiration by either exercising it or settling it in cash why are these
suppose a firm plans to borrow 5 million in 180 days the loan will be taken out at whatever libor is on the day the
the following term structure of libor is giventermrate90 days600180 days620270 days630360 days635a find the rate on a
you are the treasurer of a firm that will need to borrow 10 million at libor plus 25 points in 45 days the loan will
a large multinational bank has committed to lend a firm 25 million in 30 days at libor plus 100 bps the loan will have
as the assistant treasurer of a large corporation your job is to look for ways your company can lock in its cost of
you are a funds manager for a large bank on april 15 your bank lends a corporation 35 million with interest payments to
on january 15 a firm takes out a loan of 30 million with interest payments to be made on april 16 july 15 october 14
a bank is offering an interest rate call with an expiration of 45 days the call pays off based on 180-day liborthe
a firm is interested in purchasing an interest rate cap from a bank it has received an offer price from the bank but
a company wants to enter into a commitment to initiate a swap in 90 daysthe swap would consist of four payments 90 days
assume the 30-day libor is 5 percent and the 120-day libor is also 5 percent this implies a continuously compounded
assume the 30-day libor is 5 percent and the 120-day libor is 6 percent this implies a continuously compounded 90-day
use the black model to determine a fair price for an interest rate put that expires in 74 days the forward rate is 979
consider a call option with an exercise rate of x on an interest rate which we shall denote as simply l the underlying
in modern financial derivatives markets there are many exotic optionsbriefly explain compound options multi-asset
on july 5 a market index is at 49254 you hold a portfolio that duplicates the index and is worth 20500 times the index
use the information in problem 9 to set up a dynamic hedge using stock index futures assume a multiplier of 500 the
determine the price of an average price asian call option use an exercise price of 95count the current price in
determine the prices of the following barrier optionsa a down-and-out call with the barrier at 90 and the exercise
a portfolio manager is interested in purchasing an instrument with a call option-like payoff but does not want to have
consider a stock priced at 100 with a volatility of 25 percent the continuously compounded riskfree rate is 5 percent
a stock is priced at 12537 the continuously compounded risk-free rate is 44 percent and the volatility is 21 percent
consider a 10-year fixed-rate mortgage of 500000 that has an interest rate of 12 percent for simplification assume that