HullOFOD8eSolutionsCh04Word下载.doc
- 文档编号:15531169
- 上传时间:2022-11-03
- 格式:DOC
- 页数:12
- 大小:426KB
HullOFOD8eSolutionsCh04Word下载.doc
《HullOFOD8eSolutionsCh04Word下载.doc》由会员分享,可在线阅读,更多相关《HullOFOD8eSolutionsCh04Word下载.doc(12页珍藏版)》请在冰豆网上搜索。
(b)Theratewithannualcompoundingis
or14.75%perannum.
Problem4.2.
WhatismeantbyLIBORandLIBID.Whichishigher?
LIBORistheLondonInterBankOfferedRate.ItiscalculateddailybytheBritishBankersAssociationandistherateaAA-ratedbankrequiresondepositsitplaceswithotherbanks.LIBIDistheLondonInterBankBidrate.ItistherateabankispreparedtopayondepositsfromotherAA-ratedbanks.LIBORisgreaterthanLIBID.
Problem4.3.
Thesix-monthandone-yearzeroratesareboth10%perannum.Forabondthathasalifeof18monthsandpaysacouponof8%perannum(withsemiannualpaymentsandonehavingjustbeenmade),theyieldis10.4%perannum.Whatisthebond’sprice?
Whatisthe18-monthzerorate?
Allratesarequotedwithsemiannualcompounding.
Supposethebondhasafacevalueof$100.Itspriceisobtainedbydiscountingthecashflowsat10.4%.Thepriceis
Ifthe18-monthzerorateis,wemusthave
whichgives%.
Problem4.4.
Aninvestorreceives$1,100inoneyearinreturnforaninvestmentof$1,000now.Calculatethepercentagereturnperannumwitha)annualcompounding,b)semiannualcompounding,c)monthlycompoundingandd)continuouscompounding.
(a)Withannualcompoundingthereturnis
or10%perannum.
(b)Withsemi-annualcompoundingthereturniswhere
i.e.,
sothat.Thepercentagereturnistherefore9.76%perannum.
(c)Withmonthlycompoundingthereturniswhere
i.e.
sothat.Thepercentagereturnistherefore9.57%perannum.
(d)Withcontinuouscompoundingthereturniswhere:
i.e.,
sothat.Thepercentagereturnistherefore9.53%perannum.
Problem4.5.
Supposethatzerointerestrateswithcontinuouscompoundingareasfollows:
Maturity(months)
Rate(%perannum)
3
8.0
6
8.2
9
8.4
12
8.5
15
8.6
18
8.7
Calculateforwardinterestratesforthesecond,third,fourth,fifth,andsixthquarters.
Theforwardrateswithcontinuouscompoundingareasfollowsto
Qtr2
8.4%
Qtr3
8.8%
Qtr4
Qtr5
9.0%
Qtr6
9.2%
Problem4.6.
AssumingthatzeroratesareasinProblem4.5,whatisthevalueofanFRAthatenablestheholdertoearn9.5%forathree-monthperiodstartinginoneyearonaprincipalof$1,000,000?
Theinterestrateisexpressedwithquarterlycompounding.
Theforwardrateis9.0%withcontinuouscompoundingor9.102%withquarterlycompounding.Fromequation(4.9),thevalueoftheFRAistherefore
or$893.56.
Problem4.7.
Thetermstructureofinterestratesisupwardsloping.Putthefollowinginorderofmagnitude:
(a)Thefive-yearzerorate
(b)Theyieldonafive-yearcoupon-bearingbond
(c)Theforwardratecorrespondingtotheperiodbetween4.75andyearsinthefuture
Whatistheanswertothisquestionwhenthetermstructureofinterestratesisdownwardsloping?
Whenthetermstructureisupwardsloping,.Whenitisdownwardsloping,.
Problem4.8.
Whatdoesdurationtellyouaboutthesensitivityofabondportfoliotointerestrates?
Whatarethelimitationsofthedurationmeasure?
Durationprovidesinformationabouttheeffectofasmallparallelshiftintheyieldcurveonthevalueofabondportfolio.Thepercentagedecreaseinthevalueoftheportfolioequalsthedurationoftheportfoliomultipliedbytheamountbywhichinterestratesareincreasedinthesmallparallelshift.Thedurationmeasurehasthefollowinglimitation.Itappliesonlytoparallelshiftsintheyieldcurvethataresmall.
Problem4.9.
Whatrateofinterestwithcontinuouscompoundingisequivalentto15%perannumwithmonthlycompounding?
Therateofinterestiswhere:
Therateofinterestistherefore14.91%perannum.
Problem4.10.
Adepositaccountpays12%perannumwithcontinuouscompounding,butinterestisactuallypaidquarterly.Howmuchinterestwillbepaideachquarterona$10,000deposit?
Theequivalentrateofinterestwithquarterlycompoundingiswhere
or
Theamountofinterestpaideachquarteristherefore:
or$304.55.
Problem4.11.
Supposethat6-month,12-month,18-month,24-month,and30-monthzeroratesare4%,4.2%,4.4%,4.6%,and4.8%perannumwithcontinuouscompoundingrespectively.Estimatethecashpriceofabondwithafacevalueof100thatwillmaturein30monthsandpaysacouponof4%perannumsemiannually.
Thebondpays$2in6,12,18,and24months,and$102in30months.Thecashpriceis
Problem4.12.
Athree-yearbondpr
- 配套讲稿:
如PPT文件的首页显示word图标,表示该PPT已包含配套word讲稿。双击word图标可打开word文档。
- 特殊限制:
部分文档作品中含有的国旗、国徽等图片,仅作为作品整体效果示例展示,禁止商用。设计者仅对作品中独创性部分享有著作权。
- 关 键 词:
- HullOFOD8eSolutionsCh04