Exam 4: Interest Rates
Exam 1: Introduction8 Questions
Exam 2: Mechanics of Futures Markets12 Questions
Exam 3: Hedging Strategies Using Futures8 Questions
Exam 4: Interest Rates10 Questions
Exam 5: Determination of Forward and Futures Prices10 Questions
Exam 6: Interest Rate Futures 7 Swaps9 Questions
Exam 7: Swaps5 Questions
Exam 8: Securitization and the Credit Crisis of 20075 Questions
Exam 9: Mechanics of Options Markets4 Questions
Exam 10: Properties of Stock Options8 Questions
Exam 11: Trading Strategies Involving Options5 Questions
Exam 12: Introduction to Binomial Trees5 Questions
Exam 13: Valuing Stock Options: the Black-Scholes-Merton Model11 Questions
Exam 14: Employee Stock Options4 Questions
Exam 15: Options on Stock Indices and Currencies8 Questions
Exam 16: Futures Options7 Questions
Exam 17: The Greek Letters7 Questions
Exam 18: Binomial Trees in Practice5 Questions
Exam 19: Volatility Smiles6 Questions
Exam 20: Value at Risk5 Questions
Exam 21: Interest Rate Options5 Questions
Exam 22: Exotic Options and Other Non-Standard Products10 Questions
Exam 23: Credit Derivatives10 Questions
Exam 24: Weather, Energy and Insurance Derivatives8 Questions
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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. _ _ _ _ _ _
Free
(Short Answer)
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Correct Answer:
8.16%
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? _ _ _ _ _ _
Free
(Short Answer)
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Correct Answer:
$8.63
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._ _ _ _ _ _
Free
(Short Answer)
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Correct Answer:
9.00%
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. _ _ _ _ _ _
(Short Answer)
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Under liquidity preference theory, which of the following is always true? choose one)
(Multiple Choice)
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When the zero curve is upward sloping, which two of the following is true? choose two)
(Multiple Choice)
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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. _ _ _ _ _ _
(Short Answer)
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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. _ _ _ _ _ _
(Short Answer)
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The short term risk-free rate usually used by derivatives traders in the over-the-counter market is: choose one)
(Multiple Choice)
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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. ________
(Short Answer)
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