Maurice Tutor

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About Maurice Tutor

Levels Tought:
Elementary,Middle School,High School,College,University,PHD

Expertise:
Algebra,Applied Sciences See all
Algebra,Applied Sciences,Biology,Calculus,Chemistry,Economics,English,Essay writing,Geography,Geology,Health & Medical,Physics,Science Hide all
Teaching Since: May 2017
Last Sign in: 408 Weeks Ago, 3 Days Ago
Questions Answered: 66690
Tutorials Posted: 66688

Education

  • MCS,PHD
    Argosy University/ Phoniex University/
    Nov-2005 - Oct-2011

Experience

  • Professor
    Phoniex University
    Oct-2001 - Nov-2016

Category > Management Posted 02 Jan 2018 My Price 8.00

Quiz instructions

Quiz Instructions: Term Structure Models I Questions 1-6 should be answered by building an n=10-period binomial model for the short-rate, ri,j. The lattice parameters are: r0,0=5%, u=1.1, d=0.9 and q=1-q=1/2.

1. Quiz instructions Compute the price of a zero-coupon bond (ZCB) that matures at time t=10 and that has face value 100. Submission Guideline: Give your answer rounded to 2 decimal places. For example, if you compute the answer to be 73.2367%, submit 73.24.

2. Quiz instructions Compute the price of a forward contract on the same ZCB of the previous question where the forward contract matures at time t=4. Submission Guideline: Give your answer rounded to 2 decimal places. For example, if you compute the answer to be 73.2367%, submit 73.24.

3. Quiz instructions Compute the initial price of a futures contract on the same ZCB of the previous two questions. The futures contract has an expiration of t=4. Submission Guideline: Give your answer rounded to 2 decimal places. For example, if you compute the answer to be 73.2367%, submit 73.24.

4. Quiz instructions Compute the price of an American call option on the same ZCB of the previous three questions. The option has expiration t=6 and strike =80. Submission Guideline: Give your answer rounded to 2 decimal places. For example, if you compute the answer to be 73.2367%, submit 73.24.

5. Quiz instructions Compute the initial value of a forward-starting swap that begins at t=1, with maturity t=10 and a fixed rate of 4.5%. (The first payment then takes place at t=2 and the final payment takes place at t=11 as we are assuming, as usual, that payments take place in arrears.) You should assume a swap notional of 1 million and assume that you receive floating and pay fixed.) Submission Guideline: Give your answer rounded to the nearest integer. For example, if you compute the answer to be -220,432.23, submit -220432.

6. Quiz instructions Compute the initial price of a swaption that matures at time t=5 and has a strike of 0. The underlying swap is the same swap as described in the previous question with a notional of 1 million. To be clear, you should assume that if the swaption is exercised at t=5 then the owner of the swaption will receive all cash-flows from the underlying swap from times t=6 to t=11 inclusive. (The swaption strike of 0 should also not be confused with the fixed rate of 4.5% on the underlying swap.) Submission Guideline: Give your answer rounded to the nearest integer. For example, if you compute the answer to be -220,432.23, submit -220432.

Answers

Maurice Tutor
(5)
Status NEW Posted 02 Jan 2018 10:01 PM My Price 8.00

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