Exam 4: Interest Rates

An interest rate is 8% per annum when expressed with continuous compounding. What is the equivalent annual rate with semi-annual compounding? Answer as a per cent with two decimal places. _ _ _ _ _ _

The yield curve is flat at 6% per annum with semi-annual compounding. What to the nearest cent) is the value of an FRA where the holder receives interest at the rate of 8% per annum for a six-month period on a principal of $1000 starting in two years? _ _ _ _ _ _

The three-year zero rate is 7% and the four-year zero rate is 7.5% both continuously compounded). What is the forward rate for the fourth year with continuous compounding? Answer as a per cent with two decimal places._ _ _ _ _ _

An interest rate is 15% per annum when expressed with annual compounding. What is the equivalent rate with continuous compounding? Answer as a per cent with two decimal places. _ _ _ _ _ _

Under liquidity preference theory, which of the following is always true? choose one)

When the zero curve is upward sloping, which two of the following is true? choose two)

The six-month zero rate is 8% with semi-annual compounding. The price of a one-year bond that provides a coupon of 6% per annum semi-annually is 97. What is the one-year continuously compounded zero rate? Answer as a per cent with two decimal places. _ _ _ _ _ _

An interest rate is 12% when expressed with quarterly compounding. What is the equivalent annual rate with semi-annual compounding? Answer as a per cent with two decimal places. _ _ _ _ _ _

The short term risk-free rate usually used by derivatives traders in the over-the-counter market is: choose one)

A company will pay 4.5% per annum on a principal of AUD$200 million over the period of 180 days. The forward rate is 5.2% per annum in this Australian dollar Forward Rate Agreement FRA). Calculate the value of this FRA from the perspective of the company using Australian convention. All the rates given in this question are continuously compounded. ________