这种作业大部分是和数字打交道，总结起来就是计算和文字解释
You must explain your answers in detail and show all calculations. As for how much detail to provide, the rule of thumb is that someone else must be able to replicate your numbers by following your explanation. An example of what not to do is completing the problem entirely in a spreadsheet and then simply cutting and pasting it to your submitted assignment without any explanation. Although there is nothing wrong with using spreadsheets, you must fully explain your calculations in words and/or formulas. For repeated calculations (such as the pricing of three coupon bonds代写), it is acceptable to show detailed calculations for only one of them while just give the final answer for the others (i.e., omitting detailed calculations for them).
扫一扫又不会怀孕，扫一扫，作业无烦恼。
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Consider an outstanding swap for a counterparty that pays six-month LIBOR and receives 2.45% on
the fixed leg of the swap. Terms of the swap and other information are as follows:
o Notional principal is $100,000
o Remaining 3 payments are in 5, 11, and 17 months, respectively
o The current LIBOR rates are 1.75%, 2.25% and 2.5% for 5-month, 11-month and 17-month maturities, respectively
o The 6-month LIBOR rate on the last payment date was 2%
o All rates are 代写APR, compounded semi-annually
Value the swap as a portfolio of FRAs. Assume that the counterparties have identical default risk
and lenders demand a 35 basis points spread over LIBOR on their floating rate loans.
Consider the ten-period binomial tree of the six-month short rate (APR, compounded semiannually) provided in the excel spreadsheet (homework2.xlsx). Each binomial period is six month long and the whole tree covers a five-year span. The spot rate has equal probabilities of either going up or down in each period (in the risk-neutral world).
a) (10%)
Find the term structure of spot rates, with terms varying from 6 months to 5 years in 6-month increments. All spot rates should be stated as 代写APR, compounded semiannually.
b) (5%)
Consider a Treasury bond with 5 years remaining to maturity, $100 par, and 4.75% coupon rate (paid semiannually). Determine the value of the bond today using 1) the binomial tree代写 of short rates; 2) the term structure of spot rates in a) above. Verify that both calculations arrive at the same bond price.
c) (5%)
代写Consider a bond identical to the Treasury bond in b) above except that it is also callable. While it is not callable initially, the bond becomes callable at par after two years (the first call date is two years from now). What is the price of this callable Treasury bond?
d) (5%)
Consider a collar consisting of a long position in a European call option on the Treasury bond代写 in b) above and a short position in a European put call option on the same bond. Both options have one year remaining to maturity. The strike price of the put option is 5% below the Treasury bond price. In order for the collar to have an initial value of zero, what should the strike price of the call option be?
