None Assume that six months have passed after initiation of an equity swap. Recallyour initial swap-fixed-rate was 1.48%. In the beginning of the period, the valueof equity (stocks) was $88 whereas the value of equity today is $125. Finally,assume that the notional amount is $5 million. The new discount factors arethe following:TTMPVF0.5yr0.981.5yr 0.95vered2.5yr 0.923.5yr 0.89Can you calculate the value of your equity swap today?Hint: Use the formula Value of Equity Swap:(EquityIndexToday/EquityIndexBeginPeriod PVF TerminalYear-Fixed Rate(#Days/360) * SUM of PVFSDuringLife SwapPlease round your answer to the nearest three decimals if needed. Do nottype the $ symbol.nswer2,375,512.727 margin of error +/- 2%

Important Note:The provided answer ($2,375,512.727) seems significantly off compared to our…

Answered: Assume that six months have passed…

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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Assume that six months have passed after initiation of an equity swap. Recall your initial swap-fixed-rate was 1.73%. In the beginning of the period, the value of equity (stocks) was $90 whereas the value of equity today is $143. Finally, assume that the notional amount is $5 million. The new discount factors are the following: TTM PVF 0.5yr 0.99 1.5yr 0.96 2.5yr 0.92 3.5yr 0.88 Can you calculate the value of your equity swap today?
You are currently in an equity swap receiving the QQQ return and paying 4% fixed on a nominal value of $2.5M. The swap has quarterly payments and 5 quarters left. Below is the relevant term structure of LIBOR rates. (a) Complete the following table by filling in the zero-coupon price of a $1 bond. (Enter your answer with 4 decimals, such as 0.9987.) LIBOR rates Zero-coupon Price L(90) 0.0245 L(180) 0.0300 L(270) 0.0330 L(360) 0.0345 L(450) 0.0355 (b) What is the value of the fixed leg, based on a nominal value of $2.5M? (Enter your answer in dollars, without the dollar sign, with 0 decimal, such as 2000000.) (c) What is the value of the variable leg, based on a nominal value of $2.5M? (Enter your answer in dollars, without the dollar sign, with 0 decimal, such as 2000000.) (d) What is the value of the swap, based on a nominal value of $2.5M? (Enter your answer in dollars, without the dollar sign, with 0 decimal, such as 2000000; if value is negative, enter with a negative…
You have estimated spot rates as follows: r₁ = 5.00%,r₂ = 5.40%,r3 = 5.70%,r4 = 5.90%,15 a. What are the discount factors for each date (i.e., the present value of $1 paid in year t)? b. Calculate the PV of the following $1,000 bonds assuming annual coupons and maturity of: (1) 5%, two-year bond; (2) 5%, five-year bond; and (3) 10%, five-year bond. Complete this question by entering your answers in the tabs below. Required A Required B Calculate the PV of the following $1,000 bonds assuming annual coupons and maturity of: (i) 5%, two-year bond; (ii) 5%, five-year bond; and (iii) 10%, five-year bond. Note: Do not round intermediate calculations. Round your answers to 2 decimal places. b-i. 5%, two-year bond b-ii. 5%, five-year bond b-iii. 10%, five-year bond $ Present Value 47.60 X = 6.00%. X < Required A Required B
Please correct answer and don't use hand rating
Please help me understand how to answer the last equation?
Consider a 1-year treasury bill that currently earns 3.25%. The increase in rates for the above bill is shown as follows: Year Increase in rate 1 year from now 3.6% 2 years from now 3.85% The liquidity premium is as follows: 2-year securities 3-year securities 0.07% 0.15% Assume that if the liquidity premium theory is correct. Calculate the current rate on 3-year Treasury securities.
Using the formula given below: Rbonds =( F − P)/P, if the market price of a $1,200-face-value discount bond changes from $900 to $925, the yield to maturity decreases or increases by enter your response here%. (Round your response to two decimal places.)
The following table summarizes prices of various default-free zero-coupon bonds (expressed as a percentage of the face value): Maturity (years) Price (per $100 face value) 1 $96.32 a. Compute the yield to maturity for each bond. b. Plot the zero-coupon yield curve (for the first five years). c. Is the yield curve upward sloping, downward sloping, or flat? a. Compute the yield to maturity for each bond. The yield on the 1-year bond is %. (Round to two decimal places.) 2 $91.93 3 $87.36 4 5 $82.57 $77.42
You have estimated spot rates as follows: 71=5.40%, r₂ = 5.80%, r3=6.10%, 74 - 6.30%, r5 = 6.40%. a. What are the discount factors for each date (.e, the present value of $1 paid in year ? b. Calculate the PV of the following $1,000 bonds assuming annual coupons and maturity of (1) 5.4%, two-year bond: (2) 5.4%, five- year bond; and (3) 10.4%, five-year bond. Complete this question by entering your answers in the tabs below. Required A Required B Calculate the PV of the following $1,000 bords assuming annual coupons and maturity of: (1) 5.4%, two-year bond; (ii) 5.4%, five-year bond; and (iii) 10.4 %, five-year bond. Note: Do not round intermediate calculations. Round your answers to 2 decimal places. b-4. 5.40%, two-year bond b-il. 5.40%, five-year bond b-iii. 10.40%, five-year bond Present Value $ 992 84
Assume the zero-coupon yields on default-free securities are as summarized in the following table: in order to copy its contents into a spreadsheet.) Maturity (years) 1 2 3 4 5 Zero-coupon YTM 6.00% 6.40% 6.70% 7.10% 7.40% What is the price of a five-year, zero-coupon, default-free security with a face value of $1,000? (Click on the following icon
Consider the market rates for the maturities 1, 2, and 3 years respectively in the table below. What is the price of a 3-year bond with annual payments, coupon rate equal to 9.50% and face value equal to $68,000. Answer with two decimal digits accuracy. Example: 74929.05 t 1 2 3 R(0,t) 1.95 2.90 4.40 Blank Excel Worksheet Your Answer: Answer
You observe the following prices for Treasury securities (per $100 of par value):Maturity Coupon Rate Price6 months 0 $99.011 year 3.5% $100.991.5 years 3.0% $100.30The 18-month theoretical spot rate implied by these price is A: 2.3% B: 2.5% C: 2.8% D: 3.1%

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