Suppose that the semi-annually compounded Treasury yield curve today looks like 6mo 1y 2% 18mo 2y...
Fantastic news! We've Found the answer you've been seeking!
Question:
Transcribed Image Text:
Suppose that the semi-annually compounded Treasury yield curve today looks like 6mo 1y 2% 18mo 2y 3% 2.25% 2.5% r(0, T) B(0,T) 0.9901 0.9779 0.9634 0.9422 and you have a risk-free portfolio which pays 6mo ly 100 2%-r2(0.5,1) 1. 4pts What is the price of this portfolio? 100 2. 8pts What is the duration of this portfolio? 18mo 2%-r2(1,1.5) 2 2y Suppose that the semi-annually compounded Treasury yield curve today looks like 6mo 1y 2% 18mo 2y 3% 2.25% 2.5% r(0, T) B(0,T) 0.9901 0.9779 0.9634 0.9422 and you have a risk-free portfolio which pays 6mo ly 100 2%-r2(0.5,1) 1. 4pts What is the price of this portfolio? 100 2. 8pts What is the duration of this portfolio? 18mo 2%-r2(1,1.5) 2 2y
Expert Answer:
Answer rating: 100% (QA)
1 To price the portfolio 6mo bond pays 2 at t05 so present ... View the full answer
Related Book For
Posted Date:
Students also viewed these finance questions
-
char buff[MAX]; int n; for (;;) { bzero(buff, sizeof(buff)); printf("Enter the string : "); n = 0; while ((buff[n++] = getchar()) != ' ') ; int sockfd, connfd; struct sockaddr_in servaddr, cli;...
-
(1) Let X be a discrete random variable with a probability function given by p (x) = c 7 x, for x = 1,. . . , 6, where is a positive real constant. Determine: (a) the value of the constant c. (b) the...
-
KYC's stock price can go up by 15 percent every year, or down by 10 percent. Both outcomes are equally likely. The risk free rate is 5 percent, and the current stock price of KYC is 100. (a) Price a...
-
In the context of supply and demand under international trade, when will a country decide to export a particular good? Import a good? Who gains and loses under each decision?
-
A ball thrown horizontally at 12.2 m/s from the roof of a building lands 21.0 m from the base of the building. How high is the building?
-
What is the net electric force on charge B in FIGURE EX22.18? A(+1.0 nC | 2.0 cm -2.0 nC 1.0 cm C+) 2.0 nC FIGURE EX22.18
-
Longer-term currency options are becoming more popular for hedging exchange rate risk. Why do you think some firms decide to hedge by using other techniques instead of purchasing long-term currency...
-
DryIce Inc., is a manufacturer of air conditioners that has seen its demand grow significantly. The company anticipates nationwide demand for the next year to be 180,000 units in the South, 120,000...
-
8. If a thermometer indicates 30 degrees Celsius, what's the temperature in degrees Fahrenheit? O A. 24F B. 86F C. 54F D. 17F
-
7. At the balance sheet date, a business owes a mortgage note payable of $375,000, the terms of which provide for monthly payments of $1,250. Explain how the liability should be classified on the...
-
5. Your stock standard is 2.5 mg/mL of serum. Calculate how much serum you would need to make 500 microliters of the following dilutions: a. 0.25 mg/mL b. 100 ug/mL c. 1 mg/mL
-
Analyze how companies can leverage strategic partnerships to expand their market presence and share resources.
-
Maria Company has an average age of inventory of 120 days; average collection period of 90 days and average payment period of 100 days. The firm's annual sales are $10 million. (a) Calculate the...
-
Imperial Jewelers manufactures and sells a gold bracelet for $ 4 0 8 . 0 0 . The company s accounting system says that the unit product cost for this bracelet is $ 2 6 6 . 0 0 as shown below: Direct...
-
We cut a cake using n cuts. Each cut is downwards (as you would usually cut a cake), and is a straight line all the way through. Each pair of cuts crosses in exactly one point, and no three cuts...
-
What did the 1:100 law do to urban poorcommunities? Why would people of colorbe more likely to be arrested? Why would individuals in poverty stricken neighborhoods be more likely to choose drug using...
-
Danielle has an insurance policy with a premium of $75 per month. In September she is in an accident and receives a bill worth $2990 for the repair of her own property. Her deductible is $250 and her...
-
Assume that PRIDE Systems will hire a cloud vendor to provide PaaS functionality. Explain what this means in general, and what it means in particular for PRIDE.
-
Suppose that you are asked by your boss for a summary of what your organization should do with regard to computer security. Using the knowledge of this chapter create a PowerPoint presentation for...
-
Unlike Apple and Google, Microsoft controls Windows Server, a server operating system. Does that provide an advantage to Microsoft in this race? There are rumors, in fact, that Apple runs Windows...
-
What will be the value of AHS' TIE during 2007? a. 2.75 b. 2.85 c. 2.95 d. 3.05 AHS INC. 2007 Income Statement (S in millions) Net sales S 9625 Cost of goods sold 5225 Depreciation 1890 Earnings...
-
What will be the appropriate value of AHS' inventory turnover ratio in 2007? a. 4.56 b. 4.78 c. 5.32 d. 5.90 AHS INC. 2007 Income Statement (S in millions) Net sales S 9625 Cost of goods sold 5225...
-
If a firm had a D/A ratio of 0.4, which of the following values would be equal to its D/E ratio? a. 4/10 b. 2/3 c. 0.4/1.4 d. 10/4
Study smarter with the SolutionInn App