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it is january 30 you are managing a bond portfolio worth 6 million the duration of the portfolio in 6 months will be 82
1 the price of a 90-day treasury bill is quoted as 1000 what continuously compounded return on an actual365 basis does
it is july 30 2013 the cheapest-to-deliver bond in a september 2013 treasury bond futures contract is a 13 coupon bond
1 why are us treasury rates significantly lower than other rates that are close to risk-free2 why does a loan in the
a 5-year bond with a yield of 11 continuously compounded pays an 8 coupon at the end of each yeara what is the bonds
1 the cash prices of 6-month and 1-year treasury bills are 940 and 890 a 15-year bond that will pay coupons of 4 every
1 a five-year bond provides a coupon of 5 per annum payable semiannually its price is 104 what is the bonds yield you
a bank can borrow or lend at libor the two-month libor rate is 028 per annum with continuous compoundingassuming that
a bank can borrow or lend at libor suppose that the six-month rate is 5 and the nine-month rate is 6 the rate that can
1 an interest rate is quoted as 5 per annum with semiannual compounding what is the equivalent rate with a annual
what is the 2-year par yield when the zero rates are as in problem what is the yield on a 2-year bond that pays a
the following table gives the prices of bondsa calculate zero rates for maturities of 6 months 12 months 18 months and
a 1-year long forward contract on a non-dividend-paying stock is entered into when the stock price is 40 and the
1 the risk-free rate of interest is 7 per annum with continuous compounding and the dividend yield on a stock index is
suppose that the risk-free interest rate is 10 per annum with continuous compounding and that the dividend yield on a
the spot price of silver is 15 per ounce the storage costs are 024 per ounce per year payable quarterly in advance
1 the expected return on the sampp 500 is 12 and the risk-free rate is 5 what is the expected return on an investment
the following table gives data on monthly changes in the spot price and the futures price for a certain commodity use
it is july 16 a company has a portfolio of stocks worth 100 million the beta of the portfolio is 12 the company would
a fund manager has a portfolio worth 50 million with a beta of 087 the manager is concerned about the performance of
it is now october 2010 a company anticipates that it will purchase 1 million pounds of copper in each of february 2011
1 a bank quotes an interest rate of 14 per annum with quarterly compounding what is the equivalent rate with a
an investor receives 1100 in one year in return for an investment of 1000 now calculate the percentage return per annum
suppose that zero interest rates with continuous compounding are as followscalculate forward interest rates for the
assuming that zero rates are as in problem what is the value of an fra that enables the holder to earn 95 for a 3-month