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Financial Derivatives. Mainly need help with C, E, and F Problem 1 Bond discount forward zero par Cash curve curve curve curve Flow Inputs Overnight
Financial Derivatives. Mainly need help with C, E, and F
Problem 1 Bond discount forward zero par Cash curve curve curve curve Flow Inputs Overnight 1.100% 1.600% 1 3.5 Cash 2.000% 2 3.5 2.300% 3 3.5 Forwards 2.750% 4 3.5 3.000% 3.5 3.250% 3.5 3.700% 7 3.5 8 3.950% Swaps 3.5 4.300% 103.5 10 4.650% Fill in discount curve, zero curve, forward curve a b) Compute the PV of the bond cash flows c) Change the forward curve by +0.5% (at each maturity one at a time) and compute the discount factors and PV, DV01, duration of the bond for each case. Which forward change has the highest DV01? d) Compute the PV of the bond when increasing simultaneously all the forward rates by 1%,2%, and 3% e) What is the forward price of the bond 18 months from today? the durat of the bond Problem 1 Bond discount forward zero par Cash curve curve curve curve Flow Inputs Overnight 1.100% 1.600% 1 3.5 Cash 2.000% 2 3.5 2.300% 3 3.5 Forwards 2.750% 4 3.5 3.000% 3.5 3.250% 3.5 3.700% 7 3.5 8 3.950% Swaps 3.5 4.300% 103.5 10 4.650% Fill in discount curve, zero curve, forward curve a b) Compute the PV of the bond cash flows c) Change the forward curve by +0.5% (at each maturity one at a time) and compute the discount factors and PV, DV01, duration of the bond for each case. Which forward change has the highest DV01? d) Compute the PV of the bond when increasing simultaneously all the forward rates by 1%,2%, and 3% e) What is the forward price of the bond 18 months from today? the durat of the bondStep by Step Solution
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