金融工程作业代写 IEOR 4700代写 金融作业代写 金融代写

IEOR 4700

Homework 10: Wednesday April 7 2021

金融工程作业代写 Problem 2. [25 points] Assume the continuously compounded spot rates of Problem 1. Find the value of an FRA that enables the holder to pay a fixed

Due Friday April 16 2021. Total 100 points

Problem 1. [25 points]

The current spot interest rates with continuous compounding are as follows:

Find the corresponding continuously compounded annual forward rates for the quarters 2 – 6.

___________________

Problem 2. [25 points] 金融工程作业代写

Assume the continuously compounded spot rates of Problem 1. Find the value of an FRA that enables the holder to pay a fixed rate of 9.5%, compounded quarterly, for one quarter starting in 1 year and ending in 15 months, and receive floating rates, on a principal of $2,000,000.

__________

Problem 3. [25 points] 金融工程作业代写

A financial institution entered into an interest rate swap with company X two years ago to receive 10% fixed rate and pay 6-month LIBOR on a principal of $10 million ending in three years. Thus, the remaining life of the contract today is 1 year. The payments are made semiannually and the rates are quoted with semiannual compounding:

The following were the discount factors two years ago when the swap was entered:

How much did the financial institute pay to or receive from company X two years ago to enter into the swap? [25 points]

____________________

Problem 4. [25 points] 金融工程作业代写

Continuing with the problem above. The following were the historical 6-month Libor rates in the past two years:

Write down the cash flow stream of the financial institution resulting from the swap in the past two years (including the cash flow today).

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