Q1a. Consider the following securities for the same Japanese firm traded on an exchange: A one-year zero-coupon bond with par ¥10, 000 currently priced at ¥9, 500. A one-year dual-currency bond with coupon rate 5% on the par ¥10,000 and $100 principal, currently priced at ¥ 10, 100. A one-year forward with forward price $1 = ¥100 traded in the OTC market. Are there any arbitrage opportunities? Why?

Q1a. Consider the following securities for the same Japanese firm traded on an exchange: A one-year zero-coupon bond with par ¥10, 000 currently priced at ¥9, 500. A one-year dual-currency bond with coupon rate 5% on the par ¥10,000 and $100 principal, currently priced at ¥ 10, 100. A one-year forward with forward price $1 = ¥100 traded in the OTC market. Are there any arbitrage opportunities? Why?

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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The following is a T-bond quote (par value $1,000) from the WSJ (8/31/2018). Use the information in the quote to answer the question. Maturity Coupon Bid Asked Chg Asked Yield 8/31/2,033 5.35 98:15 98:20 -14 ??? What is the purchase price of the bond? (Do not round intermediate calculations. Round your answers to 2 decimal places. (e.g., 32.16))
If a P1,000 bond sells for P1,125, which of the following statements are correct? I. The market rate of interest is greater than the coupon rate on the bond. II. The coupon rate on the bond is greater than the market rate of interest. III. The coupon rate and the market rate are equal. IV. The bond sells at a premium. V. The bond sells at a discount. a. I and IV b. I and V c. II and IV d. II and V
pm.1
The following information is to be used in the following two questions: Using the expectations hypothesis, You observe the following bonds trading in the market: . a 1-year zero priced at $925.00 • a two-year 10% coupon bond trading at a par value of $10,000 What is the one-year interest rate (expressed in %)?
You observe the following prices of Treasury securities per $100 of par value: • a 6-month T-bill sells for 96.1538 • a 1-year T-bill sells for 94.2596 • a 1.5-year 10% coupon T-bond sells for 104.9142 Assume that the pure expectations theory of the term structure holds. a.) Calculate the 6-month, 1-year, and 1.5-year spot rates on a bond-equivalent yield basis.
what are the forward rates for the periods: 6 months to 12 months and 12 months to 18 months, 18. months to 24 months ?
#2 Assume a par value of $1,000. Caspian Sea plans to issue a 11.00 year, semi-annual pay bond that has a coupon rate of 8.11%. If the yield to maturity for the bond is 7.79%, what will the price of the bond be? Submit Answer format: Currency: Round to: 2 decimal places. unanswered not_submitted Attempts Remaining: Infinity %23
Consider the following yields to maturity on various one-year zero-coupon securities: Yield (%) Security Treasury АAА Corporate ВBB Cогрorate B Corporate 3.5 3.7 4.5 5.1 The price (expressed as a percentage of the face value) of a one-year, zero-coupon, corporate bond with a BBB rating is closest to: ..... A. 76.56 B. 114.83 О С. 95.69 D. 133.97
(a) A RM100 par value bond with coupons 6% payable semiannually is purchased at RM110 to yield a nominal rate of 4% convertible semiannually. A buyer purchases a similar bond with 3% semiannual coupons at the price, P. Calculate P with the same yield.
what is the implied interest rate on a Government of Canada ($100 000) bond futures contract that settles at $117.55 ? your answer should look like this 4.07 that is not the right answer
A financial institution has thefollowing portfolio of ove over-the- counter derivatives on pounds sterling: Туре Position Delta of Gamma of Vega of -1,000 2,000 -500 1,000 Option Forward Option Forward Option/Forward 2.2 1.3 1.8 Call 0.5 1.8 Put Call -0.4 0.7 0.7 1.4 Forward -1 A traded option is available with a delta of 0.6, a gamma of 1.5, and a vega of 0.8. (a) What position is the traded option and in pounds sterling would make the portfolio both gamma neutral and delta neutral? Solution: The delta of the portfolio is -1,000 x 0.5 - 2000 x (-0.4) - 500 x (0.7) + 1,000 x (-1) = -1050 The gamma of the portfolio is-1,000 x 2.2 –2,000 x 1.3 - 500 x 1.8+ 1000 x 0 = - 5,700 The vega of the portfolio is -1,000 x 1.8 – 2,000 x 0.7 - 500 x 1.4 +1,000 x 0= -3,900 A long position in 3,900 traded options will give a gamma-neutral portfolio since the long position has a gamma of 3,900 x 1.5 = +5,850. The delta of the whole portfolio (including traded options) is then: 3,900 x 0.6 - 1050 =…
ange P9-8 (similar to) Question Help ▼ (Yield to maturity) A bond's market price is $750. It has a $1,000 par value, will mature in 12 years, and has a coupon interest rate of 8 percent annual interest, but makes its interest payments semiannually. What is the bond's yield to maturity? What happens to the bond's yield to maturity if the bond matures in 24 years? What if it matures in 6 years? a. The bond's yield to maturity if it matures in 12 years is %. (Round to two decimal places.) "orked nt Scor pts: uestion uestion uestion urse (Busin of UselPriv Enter your answer in the answer box and then click Check Answer. Check Answer Clear All parts remaining

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