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5. A money markets desk holds a floatingrate note with an eight-year maturity. The interest rate is floating at three-month LIBOR rate, reset quarterly. The
5. A money markets desk holds a floatingrate note with an eight-year maturity. The interest rate is floating at three-month LIBOR rate, reset quarterly. The next reset is in one month. What is the approximate duration of the floating-rate note? A. 3 months B. 1 month C. 2 months D. 8 years 6. A three-year risk-free 8% coupon bond (coupons paid annually) is trading at par. One- and two-year spot rates are 6.5 percent and 7.0 percent, respectively. The three-year spot rate is closest to ________. A. 8.1% B. 9.2% C. 9.0% D. 10.1%
5. A money markets desk holds a floatingrate note with an eight-year maturity. The interest rate is floating at three-month LIBOR rate, reset quarterly. The next reset is in one month. What is the approximate duration of the floating-rate note?
A. 3 months
B. 1 month
C. 2 months
D. 8 years
6. A three-year risk-free 8% coupon bond (coupons paid annually) is trading at par. One- and two-year spot rates are 6.5 percent and 7.0 percent, respectively. The three-year spot rate is closest to ________.
A. 8.1%
B. 9.2%
C. 9.0%
D. 10.1%
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Commodity Finance
Authors: Weixin Huang
2nd Edition
0857196650, 978-0857196651
