1.

Compute the price of a zero-coupon bond (ZCB) that matures at timet=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 timet=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 oft=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 expirationt=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 att=1

, with maturityt=10

and a fixed rate of 4.5%. (The first payment then takes place att=2

and the final payment takes place att=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 nearestinteger. 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 timet=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 att=5

then the owner of the swaption will receive all cash-flows from the underlying swap from timest=6

tot=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 nearestinteger. For example, if you compute the answer to be -220,432.23, submit -220432.