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Question 2. (30 marks) The Financial Analyst Department (FAD) in Beta PLC is seeking your advice on their new investment portfolio worth $2m. Their plan
Question 2. (30 marks) The Financial Analyst Department (FAD) in Beta PLC is seeking your advice on their new investment portfolio worth $2m. Their plan is to invest on 1It July to 1t October, three months from now. The fixed rate is given below, You were told that the floating rate is uncertain in the past months. The imvestment period day count convention are 92 days, and the actual/360 convention is used for FRA pricing. The FDA You are required to calculate and identify the highest net interest revenue for the above investment based on the following interest rate hedge instruments, a) FRA contracts (10 marks) b) Eurodollar Futures contract (10 marks) c) Bank Accepted Bills Futures contracts (10 marks) Question 2. (30 marks) The Financial Analyst Department (FAD) in Beta PLC is seeking your advice on their new investment portfolio worth $2m. Their plan is to invest on 1It July to 1t October, three months from now. The fixed rate is given below, You were told that the floating rate is uncertain in the past months. The imvestment period day count convention are 92 days, and the actual/360 convention is used for FRA pricing. The FDA You are required to calculate and identify the highest net interest revenue for the above investment based on the following interest rate hedge instruments, a) FRA contracts (10 marks) b) Eurodollar Futures contract (10 marks) c) Bank Accepted Bills Futures contracts (10 marks)
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