HOME ASSIGNMENT PROBLEM №1 What is a forward price of an index JKL given the following...
PROBLEM №3 In 270 days, a US-based company expects to borrow $ 15,000,000 for a period of 90 days at 90-day Libor set in 270 days. The company is concerned that rates may increase. At time 0, this company enters a 9 × 12 FRA, an instrument that expires in 270 days and is based on 90-day Libor. The company will receive floating (long position). At time 0: 90 -day Libor in USD (Lh) is 1.7%. 270 -day Libor in...
A Bank has entered in a long 180-day FRA on the 90-day Treasury rate with the agreed upon rate of 2.5 percent. The notional amount is $10.9 million. Calculate the value of the contract 90 days after the start of the FRA if the new forward rate for the same underlying is 2.65 and you know the following spot rates (as of day 90): 90-day: 2.35% 180-day: 2.4% 270-day: 2.55% 360-day: 2.81% Provide your answer in dollars rounded to two...
problem 2 Date of pricing: November 15, 2019 Time till expiration: four months / Contract expires on March 15, 2020 Current value of an index: 2 803 Continuously compounded interest rate: 4.5 % Continuously compounded dividend yield: 2.3% Forward Price of index JKl is 2823.6309 What is the value of the forward contract on January 15, 2020 if: Forward price of contract with the same underlying assets that expires on March 15, 2020 is 2 790 Forward price of contract...
Please use EXCEL to do it Show your answers along with the formula and steps you used for each question Table 1.en January 1,2019 LIBOR so Im days) Problem 3: On January 1, 2019,a US-based lender wishes to hedge against decrease n future interest rates. The lender proposes to hedge against this risk by entering into an FRA with the notional amount of S10 million Use 30/360 day ceent coav ention ลnd simple interest rate 540% 530% s 20% 510%...
Instructions: Show all calculations in detail. No partial credit will be given for just 1) Assume the following information: U.S. deposit rate for 1 year U.S. borrowing rate for 1 year New Zealand deposit rate for 1 year - 8% New Zealand borrowing rate for 1 year 10% New Zealand dollar forward rate for 1 year $.40/NZS New Zealand dollar spot rate - $.39/NPS Also assume that a U.S. exporter denominates its New Zealand exports in NZS and expects to...
1. How can a bank create a synthetic 30-day forward rate agreement on a 90-day interest rate? A. Borrow for 90-days and lend the proceeds for 30 days. B. Borrow for 90 days and lend the proceeds for 60 days. C. Borrow for 120 days and lend the proceeds for 30 days. 2. A put option is in-the-money when: A. The stock price is equal to the exercise price of the option. B. The stock price is lower than the...
Problem 1. True or false (briefly explain why) (1) It's free to enter a forward contract when it's initiated, so the forward price is 0. (2) At the terminal time T, as a forward contract holder, you can choose not to exercise the contract. (3) As a put option seller, you are obligated to buy the underlying at time T if the option buyer wants to exercise the option.
QUESTION 2 [7 marks] A short forward contract with exactly 360 days to maturity on a stock is entered into when the stock price is $9.00 and the risk-free interest rate is 15.00% per annum with continuous compounding for all maturities. The stock is certain to pay dividends per share of 20 cents in 60 days-time and 30 cents in 270 days-time. Assume one year is 365 days. Required: a. What are the forward price and the initial value of...
5.What is the value of a call option if the underlying stock price is $78, the strike price is $80, the underlying stock volatility is 42 percent, and the risk-free rate is 5.5 percent? Assume the option has 110 days to expiration. 6. Suppose you buy one SPX call option contract with a strike of 1300. At maturity, the S&P 500 Index is at 1321. What is your net gain or loss if the premium you paid was $14?