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1、加拿大mba金融财务管理硕士作业-->解答题：Ansanageabondportfolio.Onedayyouobservetentbondsinyourportfoliothathavethefollooreuppttocapitalizeonyourvieovementsintheoveralllevelofinterestrates.Devisesuchatradeusingthebondsnotedabove.Youillion(facevalue)ofBond1inthetrade.Besuretomentiontheamount,intermsofparv
2、alue,ofeachbondthatyouiannually.Thecurrentsedforyouandtherelevantdiscountfactorsareprovided.Donoteputingthem!Usethisinformationtoans.akesureyouareclearifthevalueispositiveornegative.3.Youobservethefollointerestratesobservedtoday.Usethisinformationtoansent(FRA)thatmitsyoutoreceivearateof
3、interestof7%peryear,payablesemi-annually,onaprincipalamountof$10,000,000,fora6-monthperiodthatbeginsin3months(i.e.0.25years).Houchmustyoupay,orandtobepaid,tocancelthisFRAtoday?Beclearaboutakeorreceivethepayment.b.Supposeyoucanpurchaseaone-yearfloatingratenotethatpaysinterestattherateof3
4、-monthLIBOR+40basispoints,resetquarterly.Youareconcernedthatinterestratesaregoingtofall,soyouwishtobuyaflooronLIBORwithastrikeof5%(APR,payablequarterly).Supposeyouknowthefloorwouldcost0.25%ofnotionalvalueifyoupaidforitentirelytoday.Youprefertopayforthefloor-->bydeductingaspreadfromthefl
5、oatingratenote’squarterlycouponpaymentoneachquarterlyinterestpaymentoverthetermoftheloan.Giventhisinformation,holdingthefloatingratenoteplusthefloor?StatethisasLIBORplusaspread,quotedasanannualratepayablequarterly.选择题：1.Acouponbondisreportedashavingapriceof110.25intheentadeonemonthagoan
6、dthecouponrateis9%,theinvoicepriceof$1000facevalueofthebondayassumethatonemonthisexactly1/12ofayear.A.$1,102.50B.$1,110.00C.$1,150.00D.$1,160.25E.Noneoftheseiscorrect.2.Acouponbondthatpaysinterestsemi-annuallyhasaparvalueof$1,000,maturesin5years,andhasayieldtomaturityof10%APR,payablesem
7、i-annually.Theintrinsicvalueofthebondtodayi-annually).A.$922.77B.$924.16C.$1,075.80D.$1,077.22E.Noneoftheseiscorrect.3.Youhavejustpurchaseda10-yearzero-couponbondaturityof10%(effectiveannualrate)andaparvalueof$1,000.aturityonthebondis11%(effectiveannualrate)atthetimeyousell.A.1
