The table below shows the spot rates for the given lengths of time.Numbers of yearsEffective Annual2346.4%4.7%5,3%6%6.2%7%SpotCalculate the swap rate for a three-year deferred, six-year Interest rate swap with settlement at the end of the year.O A. 6.43%O B. 7.25%OC 8.65%.O D. 9.05%O E. 10.2%

Spot Rate is the price of financial contracts on the spot date. While Forward Rate is the price of a…

The table below shows the spot rates for the given lengths of time. Numbers of years 1 2 3 4 4.7% 5.3% Effective Annual 4% 6% 6.2% 7% Spot Calculate the swap rate for a three-year deferred, six-year interest rate swap with settlement at the end of the year. O A 6.43% O B. 7.25% OC8.65% O D.9.05% O E. 10.2%

The table below shows the spot rates for the given lengths of time. Numbers of years 1 2 3 4 4.7% 5.3% Effective Annual 4% 6% 6.2% 7% Spot Calculate the swap rate for a three-year deferred, six-year interest rate swap with settlement at the end of the year. O A 6.43% O B. 7.25% OC8.65% O D.9.05% O E. 10.2%

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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What is the future value of 20 periodic payments of $5,140 each made at the beginning of each period and compounded at 8%? (Round factor values to 5 decimal places, e.g. 1.25124 and final answer to O decimal places, e.g. 458,581.) The future value $ 54502
The value of annual(A) uniform payments over years 1-5 is equivalent to a payment schedule of 200, 200, 240, 240, 240 for years 1-5 respectively at an interest rate of 10% .equals $340 True False
Problem 2 [5] The following spot rates are observed in the market t (years) is (%) 1 6.50 2 6.68 6.84 4 6.95 7.12 > 6 7.50 ABC Ltd. borrows $100 millions at floating interest rates for 10 years. Level interest- only repayments are made annually at the end of the year. To reduce their interest rate risk ABC Ltd. wants to enters a interest rate swap as a fixed-rate payer. a) Calculate the swap rate based on the current information.
Which of the following 4 loans has the lowest interest rate risk to the lenders? Loan 1 Loan 2 Loan 3 Loan 4 Initial Interest rate 5.00% 3.75% 4.50% 4.00% Loan Maturity (in 30 30 30 30 years) Margin above the n/a 3% 3% 3% index every Adjustment interval n/a every year every year year 1% per 3% per Interest rate cap n/a None year year Loan 1 Loan 2 Loan 3 Loan 4 O Cannot determine
Consider the following countinuous compunding LIBOR spot rates: 3M (2,2% pa.), 6M (2,3% pa.), 9M (2,6% pa.), 12M (3% pa.). Find a simple compunding rate pa. (interest compounded each 4M) which is equivalent to forward rate pa (under countinuous compunding for period starting from the end of 6M till the end of 9M).
Complete the following using present value. (Use the Table provided.) (Do not round intermediate calculations. Round the "Rate used" to the nearest tenth percent. Round the "PV factor" to 4 decimal places and final answer to the nearest cent.) Amount desired at end of period 6,600 Length of time 10 years Rate 2% Compounded semiannually On PV Table 12.3 Period used 120 Rate used 0.2 % PV factor used 0.2400 $ PV of amount desired at end of period 1,584.08
Fill in the blanks in the last 3 columns below with the required data based on the given about compounding interest. Compound Interest formula: S= P(1+ * (1+ 0" Time Annual in Compounding Term Rate Future Periodic rate (i) Present Value (P) Period (n) Amount (S) Years (m) (R) (t) AED AED 9,274.49 9% monthly Round to 2 d.p. AED quarterly AED 1,114.46 10% Round to 2 d.p.
the following data calculate the continuously compounded zero rates for all the maturities ward rates for 6months, 12 months, 18 months and 24 months by using boot strap Also calculate the one-year interest rate after 6 months and the 6-month interest rate 18 months. ..
Find the future value. (Use the Table 12.1.) (Do not round intermediate calculations. Round the "FV factor" to 4 decimal places and final answer to the nearest cent.) $ Present value 11,129.37 Length of time 5 years Rate 12% Compounded Quarterly On FV Table 12.1 Period used 20 Rate used 3% FV factor used Future value
For each of the following cases, indicate (a) what interest rate columns and (b) what number of periods you would refer to in looking up the present value factor. (1) In Table 3 (present value of 1): Number of Discounts Annual Rate Years Involved per Year Case A 9% 7 Case B 10% 8 Annually Semiannually Case C 8% 8 Semiannually Case A Case B Case C (a) (b) % periods % periods % periods (2) In Table 4 (present value of an annuity of 1): Annual Rate Number of Years Involved Number of Payments Involved Frequency of Payments Case A 8% 15 15 Annually Case B 8% 4 4 Annually Case C 12% 8 16 Semiannually (a) Case A % Case B % (b) periods periods Case C % periods
Suppose today’s LIBOR rates for 1, 2, 3, 4, 5, and 6 months are 1.6%, 1.8%, 2.0%, 2.0%, 1.9%, and 1.6% with continuous compounding. What are the forward rates for future 1-month periods?

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