EDB Comdy 97325 12/17/18 EDH9 Comdy 97.145 03/18/19 EDMe Camdy 96995 06/1/19 EDUB Comdy 98905 6/19 EDHD Comdy 96815 03/16/20 EDMD Comdy 96815 05/15/20 9682 ,12/54/20 EDM1 Condy 9888 06/1421 EDU1 Comdty 9 EDZ1 Comdy 98885 12121 EDH2 Comdy 96875 03/14/22 EDM2 Camdy 96875 06/13/22 EDURComdy 9687 1922 ED2Camdy 96865 12/1922 687 o/1321 9636 3323 EDM3 Comdty 96855 08/19/23 Table 1: Eurodollar Futures Price and Maturity As of 09/28/2018, Table 1 gives the settlement prices of Eurodollar futures contracts of different maturities. Using this data and any assumption that you believe is necessary: a) Derive the present values on 09/28/2018 of S1 received in 6 months, 12 months, 18 months, 24 months, 30 months, and 36 months. Show your work. b) As of 09/28/2018 (trade date), derive the corresponding fixed rates on interest rate swaps where fixed is exchanged for floating. Use swap maturities of 2, and 3-year Assume that both the fixed and floating payments are made there is no difference between trade date and effective date, and that the payments fall on the yearly anniversaries of the trade date with no adjustment for holidays. Show your work once a year. Assume that c) Using the same information as in b), show all the payments on the two-year interest rate swap where you pay the annual two- year fixed swap rate and receive the 6- month floating rate. List expected payments at the forward rates when the floating payments are not known. Assu of $50 Million on the swap. Show your EDB Comdy 97325 12/17/18 EDH9 Comdy 97.145 03/18/19 EDMe Camdy 96995 06/1/19 EDUB Comdy 98905 6/19 EDHD Comdy 96815 03/16/20 EDMD Comdy 96815 05/15/20 9682 ,12/54/20 EDM1 Condy 9888 06/1421 EDU1 Comdty 9 EDZ1 Comdy 98885 12121 EDH2 Comdy 96875 03/14/22 EDM2 Camdy 96875 06/13/22 EDURComdy 9687 1922 ED2Camdy 96865 12/1922 687 o/1321 9636 3323 EDM3 Comdty 96855 08/19/23 Table 1: Eurodollar Futures Price and Maturity As of 09/28/2018, Table 1 gives the settlement prices of Eurodollar futures contracts of different maturities. Using this data and any assumption that you believe is necessary: a) Derive the present values on 09/28/2018 of S1 received in 6 months, 12 months, 18 months, 24 months, 30 months, and 36 months. Show your work. b) As of 09/28/2018 (trade date), derive the corresponding fixed rates on interest rate swaps where fixed is exchanged for floating. Use swap maturities of 2, and 3-year Assume that both the fixed and floating payments are made there is no difference between trade date and effective date, and that the payments fall on the yearly anniversaries of the trade date with no adjustment for holidays. Show your work once a year. Assume that c) Using the same information as in b), show all the payments on the two-year interest rate swap where you pay the annual two- year fixed swap rate and receive the 6- month floating rate. List expected payments at the forward rates when the floating payments are not known. Assu of $50 Million on the swap. Show your
