1.Question 1

Quiz instructions

Compute the price of a zero-coupon bond (ZCB) that matures at

time t=10t = 10

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.Question 2

Quiz instructions

Compute the price of a forward contract on the same ZCB of the

previous question where the forward contract matures at time t=4t = 4

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.Question 3

Quiz instructions

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=4t =

4

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.Question 4

Quiz instructions

Compute the price of an American call option on the same ZCB of

the previous three questions. The option has expiration t=6t = 6

t=6 and strike =80= 80

=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.Question 5

Quiz instructions

Compute the initial value of a forward-starting swap that begins

at t=1t=1

t=1, with maturity t=10t = 10

t=10 and a fixed rate of 4.5%. (The first payment then takes

place at t=2t = 2

t=2 and the final payment takes place at t=11t = 11

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.Question 6

Quiz instructions

Compute the initial price of a swaption that matures at time

t=5t = 5

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=5t = 5

t=5 then the owner of the swaption will receive all cash-flows

from the underlying swap from times t=6t = 6

t=6 to t=11t = 11

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.