Question
Suppose a bank holds a $3,000,000, 5 year annual bond with a 6.5% coupon. The bank pays for this bond with a$3,000,000 1 year CD
Suppose a bank holds a $3,000,000, 5 year annual bond with a 6.5% coupon. The bank pays for this bond with a$3,000,000 1 year CD with an annual interest rate of 2.45% interest. If interest rates rise by 75 basis points, then by how much does the equity change as a result?
A) -69,837.35
B) -113,442.51
C) 69,837.35
D) 113,442.51
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Fundamentals of Futures and Options Markets
Authors: John C. Hull
8th edition
978-1292155036, 1292155035, 132993341, 978-0132993340
