Question 1

Find the future value of $10 (today), 1.5 years later. Under quarterly compounding. R(0,1.5) = 3%.

a) $10.7732

b) $10.4585

c) $11.9405

d) $10.1127

Question 2

Find the price of a forward contract with maturity of 2 (T=2) years. The underlying asset is a 2 year (T =4) annual-coupon bond with coupon rate 2%. You are given the following term structure: R(0, 1) = 2%, R(0, 2) = 2.5%, R(0, 3) = 2.9%, and R(0, 4) = 3.2%.

a) $96.2737

b) $100.0510

c) $94.4238

d) $108.5004