111. Swaps ch as market dn for a set of forward prices and interest rates on the ChicgoM Exchange Maturity Price Spot 96.3500 t+3 months 96.0000 t+6 months 95.8500 11. What is the annualized forward rate six months ahead: a) 3.65%; b) 400%; (c) 4.15 %; (d) 95.85%; 12. What is the swap rate 3 months ahead (t+3): (a) can't be determined: (b) it is equail to the annualized spot forward rate;(c) 2.48% ; (d) 3.65%; 13. What is the swap rate 6 months ahead (t+6): (a) 3.82%; (b) 1.95%, (c) 2.69%; (d) 3.57%; 14. If the implied default probability on a 4-year credit default swap is 32.12%%, and the recovery rate is 20%, what is the swap spread: (a) 950 bps; (b) 40% (c) 775 bps; (d) 400 bps; IV. Binomial trees Consider an American put option that is 6 months from expiration. The current value of the underlying is 40, and volatility is 10% per year. Comtruct a 3-step recombining (d-1/u) binomial tree to price this option 15. What is the size of an up move: (a) 1.0779; (b) 1.1634; (c) 0.9935; (d) 1.0417; This next question is DOUBLE weight. Please fill out 11 and 12 with the same answer 16.-17. If the risk neutral probability of an up move is 0.5307, what is the risk free interest rate: (a) 1.50%; (b) 2.0%; (c) 3%; (d) 4.0%; 18. What is the spot price at (1.0): (a) 38.309 b) 3663() 45.666 (a) 39.1918 19. What is the spot price at (3,3): (a) 40; (b) 45.2116; (c) 30.0417; (d) 75.1394 This table is a European put price tree: European Put Tree ooPi,Pa P(0, 0) P(3,3) P(2,2) P(3,2) P(2,0) 9.6109 20. What is the strike price of the put option in this tree: (a) 55; (b) 45; (c) 60; (d) cann be determined; in tho Aucrican nut price at (3,1): (a) 0.0000; (b) 6.6001; (c) 7.8082; (d) 7.376 111. Swaps ch as market dn for a set of forward prices and interest rates on the ChicgoM Exchange Maturity Price Spot 96.3500 t+3 months 96.0000 t+6 months 95.8500 11. What is the annualized forward rate six months ahead: a) 3.65%; b) 400%; (c) 4.15 %; (d) 95.85%; 12. What is the swap rate 3 months ahead (t+3): (a) can't be determined: (b) it is equail to the annualized spot forward rate;(c) 2.48% ; (d) 3.65%; 13. What is the swap rate 6 months ahead (t+6): (a) 3.82%; (b) 1.95%, (c) 2.69%; (d) 3.57%; 14. If the implied default probability on a 4-year credit default swap is 32.12%%, and the recovery rate is 20%, what is the swap spread: (a) 950 bps; (b) 40% (c) 775 bps; (d) 400 bps; IV. Binomial trees Consider an American put option that is 6 months from expiration. The current value of the underlying is 40, and volatility is 10% per year. Comtruct a 3-step recombining (d-1/u) binomial tree to price this option 15. What is the size of an up move: (a) 1.0779; (b) 1.1634; (c) 0.9935; (d) 1.0417; This next question is DOUBLE weight. Please fill out 11 and 12 with the same answer 16.-17. If the risk neutral probability of an up move is 0.5307, what is the risk free interest rate: (a) 1.50%; (b) 2.0%; (c) 3%; (d) 4.0%; 18. What is the spot price at (1.0): (a) 38.309 b) 3663() 45.666 (a) 39.1918 19. What is the spot price at (3,3): (a) 40; (b) 45.2116; (c) 30.0417; (d) 75.1394 This table is a European put price tree: European Put Tree ooPi,Pa P(0, 0) P(3,3) P(2,2) P(3,2) P(2,0) 9.6109 20. What is the strike price of the put option in this tree: (a) 55; (b) 45; (c) 60; (d) cann be determined; in tho Aucrican nut price at (3,1): (a) 0.0000; (b) 6.6001; (c) 7.8082; (d) 7.376