Each exercise is worth 5 points

An investor buys the following floating bond BY 1.7. 2025 with floating coupon rate, annual frequency,

linked money markets indicators + 45 basis point

He buys 1.7.2021 (settlement date) current coupon rate 0,015 (1.7.21-1.7.22)

Observing the zero curve he wants to estimate the next coupon rate starting 1.7.2022 until the maturity

Determine the future coupon rates

Question2

An investor wants to invest in BUND FUTURE for settlement September 2021, 3,5% initial margin,

maintenance margin is equal to 90% of the initial margin

On 21 June at 2,30 pm he opens a long position at 150,54

on 22 June the close price is 150,30

on 23 June at 11.30 a.m.the investor sells two contracts at 150,20

at 5 p.m. the close price is 150,00

Determine the margin account on

a) 21 June

b) 22 June

c) 23 June

Question 3

An investor has bought in T0 equity XZY at 14,25

In T1 he is afraid of falling of price so he decides to hedge his portfolio using an option

he could select the following options

strike premium

15 0,50

14,50 0,60

14,25 0,75

Which kind of option will he select?

determine the final pay off in the following two hypothesis

a) 17

b) 11