Q: It is January 9, 2018. The price of a Treasury
It is January 9, 2018. The price of a Treasury bond with a 6% coupon that matures on October 12, 2030, is quoted as 102-07. What is the cash price?
See AnswerQ: Suppose that a Eurodollar futures quote is 88 for a contract maturing
Suppose that a Eurodollar futures quote is 88 for a contract maturing in 60 days. What is the LIBOR forward rate for the 60- to 150-day period? Ignore the difference between futures and forwards for t...
See AnswerQ: What is the equation corresponding to equation (19.4)
What is the equation corresponding to equation (19.4) for (a) a portfolio of derivatives on a currency and (b) a portfolio of derivatives on a futures price?
See AnswerQ: The 350-day LIBOR rate is 3% with continuous compounding
The 350-day LIBOR rate is 3% with continuous compounding and the forward rate calculated from a Eurodollar futures contract that matures in 350 days is 3.2% with continuous compounding. Estimate the 4...
See AnswerQ: It is January 30. You are managing a bond portfolio worth
It is January 30. You are managing a bond portfolio worth $6 million. The duration of the portfolio in 6 months will be 8.2 years. The September Treasury bond futures price is currently 108-15, and th...
See AnswerQ: The price of a 90-day Treasury bill is quoted as
The price of a 90-day Treasury bill is quoted as 10.00. What continuously compounded return (on an actual/365 basis) does an investor earn on the Treasury bill for the 90-day period?
See AnswerQ: It is May 5, 2017. The quoted price of a
It is May 5, 2017. The quoted price of a government bond with a 12% coupon that matures on July 27, 2034, is 110-17. What is the cash price?
See AnswerQ: Why is the expected loss to a bank from a default on
Why is the expected loss to a bank from a default on a swap with a counterparty less than the expected loss from the default on a loan to the counterparty when the loan and swap have the same principa...
See AnswerQ: A bank finds that its assets are not matched with its liabilities
A bank finds that its assets are not matched with its liabilities. It is taking floating-rate deposits and making fixed-rate loans. How can swaps be used to offset the risk?
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