1. Compute the price of a zero-coupon bond (ZCB) that matures at time t = 10 and that has face

value 100.

Submission Guideline: Give your answer rounded to 2 decimal places. For example, if you

compute the answer to be 73.2367%, submit 73.24.

2. Compute the price of a forward contract on the same ZCB of the previous question where the

forward contract matures at time t = 4.

Submission Guideline: Give your answer rounded to 2 decimal places. For example, if you

compute the answer to be 73.2367%, submit 73.24.

3. Compute the initial price of a futures contract on the same ZCB of the previous two questions. The

futures contract has an expiration of t = 4.

Submission Guideline: Give your answer rounded to 2 decimal places. For example, if you

compute the answer to be 73.2367%, submit 73.24.

4. Compute the price of an American call option on the same ZCB of the previous three questions.

The option has expiration t = 6 and strike =80.

Submission Guideline: Give your answer rounded to 2 decimal places. For example, if you

compute the answer to be 73.2367%, submit 73.24.

5. Compute the initial value of a forward-starting swap that begins at t=1, with maturity t = 10 and a

fixed rate of 4.5%. (The first payment then takes place at t = 2 and the final payment takes place at

t= 11 as we are assuming, as usual, that payments take place in arrears.) You should assume a

swap notional of 1 million and assume that you receive floating and pay fixed.)

Submission Guideline: Give your answer rounded to the nearest integer. For example, if you

compute the answer to be -220,432.23, submit -220432.

6. Compute the initial price of a swaption that matures at time t = 5 and has a strike of 0. The

underlying swap is the same swap as described in the previous question with a notional of 1 million.

To be clear, you should assume that if the swaption is exercised at t = 5 then the owner of the

swaption will receive all cash-flows from the underlying swap from times t = 6 to t = 11 inclusive.

(The swaption strike of 0 should also not be confused with the fixed rate of 4.5% on the underlying

swap.)

Submission Guideline: Give your answer rounded to the nearest integer. For example, if you

compute the answer to be -220,432.23, submit -220432.