Question 7 Table 538: Spot Curve 6 months ago Years to today Years to Maturity Spot Rate Spot Rate Maturity 0.5 1.23% 0.5 1.14% 1 2.49% 1 2.06% 1.5 2.33% 1.5 2.46% 2 3.7% 2 4.76% 2.5 4.74% 2.5 4.29% 3 5.49% 3 5.14% The zero coupon curves above were published by Bestina Financial six-months ago and today. The reported rates were derived using semiannual compounding. Suppose that you entered the Forward Rate Agreement six months ago to lend $41,000 for six months starting in two years. Find the current value (today) of your FRA that you entered six months ago. Answer: Enter your answer as a positive or negative numeric value rounded to 4 decimal places.

Question 7 Table 538: Spot Curve 6 months ago Years to today Years to Maturity Spot Rate Spot Rate Maturity 0.5 1.23% 0.5 1.14% 1 2.49% 1 2.06% 1.5 2.33% 1.5 2.46% 2 3.7% 2 4.76% 2.5 4.74% 2.5 4.29% 3 5.49% 3 5.14% The zero coupon curves above were published by Bestina Financial six-months ago and today. The reported rates were derived using semiannual compounding. Suppose that you entered the Forward Rate Agreement six months ago to lend $41,000 for six months starting in two years. Find the current value (today) of your FRA that you entered six months ago. Answer: Enter your answer as a positive or negative numeric value rounded to 4 decimal places.

EBK CFIN

6th Edition

ISBN:9781337671743

Author:BESLEY

Publisher:BESLEY

Chapter8: Risk And Rates Of Return

Section: Chapter Questions

Problem 8PROB

See similar textbooks

Similar questions

Q9 to Q10 below is based on the following information.Current Stock Price (S0) 80Strike/Exercise Price (K) 75Time to Maturity (T) of 1 year 1Risk-free Rate (r) 0.04Volatility 40%N(d1) 0.6777N(d2) 0.5245N(d1) 0.3223N(d2) 0.4755 Q9. Based on the above information and the Black-Scholes-Merton model, which of thefollowing is the correct Delta () of the European Put option?(A) 0.6777 (positive)(B) 0.5245 (positive)(C) -0.6777 (negative)(D) -0.3223 (negative)Answer: _______________ Q10. Based on the above information and the Black-Scholes-Merton model, which ofthe following is closest to the correct no-arbitrage Put Option price?(A) 8.4852(B) 16.4259(C) 11.3392(D) -16.4259Answer: _______________
Inputs Annual Coupon Rate 3.70% Number of Years 6 Face Value (PAR) $1,000 Price $1,100.27 In Excel: a. What is the YTM? b. Calculate convexity using Excel
Q17 The expected dividend of Sony Company for next year has the following probability distributions: 30% OMR 2.000 and 70% OMR 2.890. If the market price of a share is OMR 65.625, what is the required rate of return? a. 25% b. 2% c. 4% d. 8%
Q8 The average annual return on the S&P 500 Index from 1986 to 1995 was 15.8 percent. The average annual T-bill yield during the same period was 5.6 percent.What was the market risk premium during these ten years? (Round your answer to 1 decimal place.) AVERAGE MARKET RISK PRMEMIUM. %
d4) Assume that the MLIK100 Index at close of trading yesterday was 4,000 and the daily volatility of the index was estimated as 0.8% per day at that time. The parameters in a GJR GARCH model are ω = 0.000005, α = 0.08, = 0.04 and β = 0.92. Where is the asymmetry parameter. If the MLIK100 moves by 50 points by close of trading today, what will the new volatility estimate be, per day, if the move is an increase or a decrease?
A4). Finance 1. You are given the following information regarding the S&P 500 index:  The current price is 4,000.  The 2-year forward price is 4,100.  The continuously compounded risk free rate is 4%. Determine: a. The 6-month forward price. b. The continuously-compounded dividend yield.
Problem 9-21 Risk, Return, and Their Relationship (LG9-3, LG9-4)Consider the following annual returns of Estee Lauder and Lowes Companies: Estee LauderLowes CompaniesYear 123.9%6.0%Year 224.016.6Year 318.14.7Year 450.444.0Year 517.314.0Compute each stocks average return, standard deviation, and coefficient of variation.Note: Round your answers to 2 decimal places.
onsider the following for a firm. Its stock price (P0) is at $50, its payout ratio (POR) is 0.4, its EPS1 is $2.00, and its expected return on the money retained (i) is 0.10. What is investor’s required rate of return?
Problem 10-8 Risk Premiums Consider the following rates of return: Year Large-Company Stocks US Treasury Bills 1 3.95% 6.53% 2 14.13 4.38 3 19.07 4.25 4 −14.61 7.30 5 −32.10 4.94 6 37.32 6.14 a. Calculate the arithmetic average returns for large-company stocks and T-bills over this period. (Do not round intermediate calculations and enter your answers as a percent rounded to 2 decimal places, e.g., 32.16.) b. Calculate the standard deviation of the returns for large-company stocks and T-bills over this period. (Do not round intermediate calculations and enter your answers as a percent rounded to 2 decimal places, e.g., 32.16.) c-1. Calculate the observed risk premium in each year for the large-company stocks versus the T-bills. What was the arithmetic average risk premium over this period? (A negative answer should be indicated by a minus sign. Do not round intermediate calculations and enter your answer…
D4) Consider a firm with zero-coupon bonds that mature in 1 year and combined face value of $100,000. The market value of the firm's assets is $95,000 and the standard deviation of returns of the assets is 15%. The risk-free rate is continuously compounded 6%. What is the value of the equity? Answer: $6,076 How to get this answer please!
1. Construct a market weighted index using 3 stocks below over a one year period to find the index return. WPI Po= 19 Qo= 500 P1= 25 Q1= 500 UMB Po= 19 Qo= 300 P1= 12 Q1= 600 ZZT Po= 34 Qo= 200 P1= 34 Q1= 200
Given D1 = P2.00, beta=0.9, risk- free rate -5.6%, market risk premium = 6%, current stock price = P25, and the market is in equilibrium. What should be the stock price in 3 years?