I need help with the following questions:
1. CFA Jones notices that the futures price of the S&P500 index is lower than the current value of the index. One reason for this could be that the dividend yield of the S&P500 is greater than the risk-free interest rate. O less than the risk-free interest rate. O creates a convenience yield. 2. A portfolio of long floating rate agreements (FRAs) can be used to replicate O A. None of the above. O B. The fixed rate payer's half of a plain vanilla swap. O C. The floating rate payer's half of a plain vanilla swap. 3. The present value of $1 received 90, 180, 270, and 360 days from now is 0.98644, 0.97264, 0.95866, and 0.94451. The price of a one year swap with quarterly payments is closest to: O A. 6.01% C B. 5.75% O C. 5.65% 4. If an investor expects future LIBOR rates to increase at all maturities, how can she use a swap to make money off of this expectation? O A. Enter a pay fixed swap. OB. Enter a receive fixed swap. C. Purchase a floating rate and enter a receive fixed swap. 5. in 30d in 60d in 90d in 120d in 150d 30-day LIBOR 3.90% 4.00% 4.20% 4.40% 4.50% 60-day LIBOR 4.10% 4.40% 4.50% 4.70% 4.80% 90-day LIBOR 4.20% 4.70% 4.80% 4.90% 5.20% 120-day LIBOR 4.50% 5.00% 5.20% 5.30% 5.50% 150-day LIBOR 4.80% 5.30% 5.40% 5.60% 5.90% Our firm has just entered a 2x5 FRA at 3.8% with a notional amount of $28.5 million. Based on the expectations of future LIBOR rates shown above, the best estimate of the value of our FRA 30 days from now is: A.-$85,000 B. -$100,000 O C. -$62,000 6. Our firm wants to hedge against a rise in interest rates. We will need to borrow for 90 days, 60 days from now. Which FRA would best hedge this risk? O A.2 x 5 C B. 6 x 9 C C. 2x3 7. 30-day LIBOR 2.60% 60-day LIBOR 2.80% 90-day LIBOR 3.00% 120-day LIBOR 3.20% 150-day LIBOR 3.30% Based on these current LIBOR rates, what value is closest to the price of the FRA that will hedge the risk on that 90 day loan, 60 days from today? O A. 3.2% B. 3.0% C C. 3.6%