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加拿大mba金融财务管理硕士作业-固定收益课

日期:2017-4-14作者:无忧论文网编辑:anne点击次数:234
销售价格:300元论文编号:lw201704141435509108论文字数:580 
论文属性:MBA 课程论文论文地区:加拿大论文语种:English 

解答题:
Answer the questions in the space provided. Please be sure to show sufficient work so that I can award partial grades, if necessary.


1. You manage a bond portfolio. One day you observe two federal government bonds in your portfolio that have the following characteristics:
 
You have a strong opinion that the yield curve will become steeper (that is, more upward sloping) in the near future, but you have no strong opinion about the general level of bond yields.


You wish to devise a trade to attempt to capitalize on your view of a steeper yield curve, but in a way that does not change your portfolio's exposure to movements in the overall level of interest rates.
Devise such a trade using the bonds noted above. You will use $50 million (face value) of Bond 1 in the trade. Be sure to mention the amount, in terms of par value, of each bond that you will use and whether you would buy or sell each bond. [5 points]


2. All interest rates in this question are quoted as APR payable semiannually. The current swap curve is provided below. A bootstrap process has been performed for you and the relevant discount factors are provided. Do not waste your time computing them! Use this information to answer the following questions.

 
a. A company can issue floating rate debt at LIBOR - 25 bps for a 3-year term. What fixed rate can you lock in for that same term using an interest rate swap? (Hint: before launching into very involved calculations, think a moment. This question is very straightforward.)

b. You are presently receiving 4% APR payable semiannually in exchange for LIBOR reset semi-annually on a swap that will expire in 3 years. The most recent payment was made today. What is the value of the existing swap to you if the notional principal amount is $50 million? Make sure you are clear if the value is positive or negative.


3. You observe the following discount factors that are derived from interest rates observed today. Use this information to answer the following questions.

a. Suppose you have an existing forward rate agreement (FRA) that commits you to receive a rate of interest of 7% per year, payable semi-annually, on a principal amount of $10,000,000, for a 6-month period that begins in 3 months (i.e. 0.25 years). How much must you pay, or would you demand to be paid, to cancel this FRA today? Be clear about whether you would make or receive the payment.

b. Suppose you can purchase a one-year floating rate note that pays interest at the rate of 3-month LIBOR + 40 basis points, reset quarterly. You are concerned that interest rates are going to fall, so you wish to buy a floor on LIBOR with a strike of 5% (APR, payable quarterly). Suppose you know the floor would cost 0.25% of notional value if you paid for it entirely today. You prefer to pay for the floor


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