金融市场上期题 金融考试题 西南财经大学天府学院
更新时间:2023-11-26 19:23:02 阅读量: 教育文库 文档下载
- 金融市场学期末考试题推荐度:
- 相关推荐
Problems
1. The following table lists foreign exchange rates between US dollars and British pounds
during April.
Date 4/1 4/4 4/5 4/6 4/7 4/8 4/11 4/12 4/13 4/14 4/15
US Dollars per
GBP
1.9564 1.9293 1.914 1.9374 1.961 1.8925 1.8822 1.8558 1.796 1.7902 1.7785
Date 4/18 4/19 4/20 4/21 4/22 4/25 4/26 4/27 4/28 4/29
US Dollars per
GBP
1.7504 1.7255 1.6914 1.672 1.6684 1.6674 1.6857 1.6925 1.7201 1.7512
Which day would have been the best day to convert $200 into British pounds? Which day would have been the worst day? What would be the difference in pounds?
2. Consider a bond with a 7% annual coupon and a face value of $1,000. Complete the
following table:
Years to Maturity 3 3 6 9 9
Discount Rate
5 7 7 7 9
Current Price
What relationship do you observe between yield to maturity and the current market value?
3. You are willing to pay $15,625 now to purchase a perpetuity which will pay you and your
heirs $1,250 each year, forever, starting at the end of this year. If your required rate of return does not change, how much would you be willing to pay if this were a 20-year, annual payment, ordinary annuity instead of a perpetuity? 4.
A bank has two, 3-year commercial loans with a present value of $70 million. The first is a $30 million loan that requires a single payment of $37.8 million in 3 years, with no other payments until then. The second is for $40 million. It requires an annual interest payment of $3.6 million. The principal of $40 million is due in 3 years.
a. What is the duration of the bank’s commercial loan portfolio?
b. What will happen to the value of its portfolio if the general level of interest rates
increased from 8% to 8.5%?
5. Consider a bond that promises the following cash flows. The required discount rate is 12%.
Year
Promised Payments
0
1 160
2 170
3 180
4 230
You plan to buy this bond, hold it for 2? years, and then sell the bond.
a. What total cash will you receive from the bond after the 2? years? Assume that periodic
cash flows are reinvested at 12%.
b. If immediately after buying this bond, all market interest rates drop to 11% (including
your reinvestment rate), what will be the impact on your total cash flow after 2? years? How does
this compare to part (a)?
c. Assuming all market interest rates are 12%, what is the duration of this bond?
Solution:
a. You will receive 160, reinvested that for 1.5 years, and 170 reinvested for 0.5 years.
Then you will sell the remaining cash flows, discounted at 12%. This gives you:
160?(1.12)1.5?170?(1.12)0.5?180230??$733.69. 1.120.51.121.5180230??$733.74. 0.51.51.111.11b. This is the same as part (a), but the rate is now 11%.
160?(1.11)1.5?170?(1.11)0.5?
Notice that this is only $0.05 different from part (a).
6. You own a $1,000-par zero-coupon bond that has 5 years of remaining maturity. You plan on
selling the bond in one year, and believe that the required yield next year will have the
following probability distribution: Probability 0.1 0.2 0.4 0.2 0.1
Required Yield
6.60% 6.75% 7.00% 7.20% 7.45%
a. What is your expected price when you sell the bond? b. What is the standard deviation?
Multiple Choice
1.When the inflation rate is expected to increase, the real cost of borrowing declines at any given interest rate; as a result, the _________ bonds increases and the _________ curve shifts to the right.
A) demand for; demand B) demand for; supply C) supply of; demand D) supply of; supply
In Figure 4.1, the most likely cause of the increase in the equilibrium interest rate from i1 to i2 is A)an increase in the price of bonds. B) a business cycle boom.
C) an increase in the expected inflation rate. D) a decrease in the expected inflation rate.
In Figure 4.2, one possible explanation for the increase in the interest rate from i1 to i2 is a(n) _________ in _________.
A) increase; the expected inflation rate B) decrease; the expected inflation rate C) increase; economic growth D) decrease; economic growth
Solution:
Years to Maturity Yield to Maturity Current Price 3 5 $1,054.46 3 7 $1,000.00 6 7 $1,000.00 9 5 $1,142.16 9 9 $ 880.10
When yield to maturity is above the coupon rate, the band’s current price is below its face
value. The opposite holds true when yield to maturity is below the coupon rate. For a given maturity, the bond’s current price falls as yield to maturity rises. For a given yield to maturity, a bond’s value rises as its maturity increases. When yield to maturity equals the coupon rate, a bond’s current price equals its face value regardless of years to maturity.
Solution: To find your yield to maturity, Perpetuity value ??PMT/I. So, 15625 ??1250/I. I ??0.08
The answer to the final part, using a financial calculator: N ??20; I ??8; PMT ??1250; FV ??0 Compute PV : PV ??12,272.69
Solution:
a. You will receive 160, reinvested that for 1.5 years, and 170 reinvested for 0.5 years.
Then you will sell the remaining cash flows, discounted at 12%. This gives you:
160?(1.12)1.5?170?(1.12)0.5?180230??$733.69. 1.120.51.121.5180230??$733.74. 0.51.51.111.11b. This is the same as part (a), but the rate is now 11%.
160?(1.11)1.5?170?(1.11)0.5? Notice that this is only $0.05 different from part (a).
c. The duration is calculated as follows:
Year
Payments
PV of Payments
Time Weighted PV of Payments
Time Weighted PV of Payments
Divided by Price
1 160.00 142.86 142.86 0.26
2 170.00 135.52 271.05 0.49
3 180.00 128.12 384.36 0.70
4 230.00 146.17 584.68 1.06
Sum 552.67
2.50
Since the duration and the holding period are the same, you are insulated from immediate changes in interest rates! It doesn’t always work out this perfectly, but the idea is important.
Solution: The duration of the first loan is 3 years since it is a zero-coupon loan. The duration
of the second loan is as follows:
Year
Payment
PV of Payments
Time Weighted PV of Payments Time Weighted PV of Payments Divided by Price
1 3.60 3.33 3.33 0.08
2 3.60 3.09 6.18 0.15
3 43.60 34.61 103.83 2.53
41.03
2.76 Sum
The duration of a portfolio is the weighted average duration of its individual securities.
So, the portfolio’s duration ? 3/7 ? (3) ? 4/7 ? (2.76) ? 2.86 If rates increased, ?P??DUR??i0.005?P??2.86??70,000,000??926,852. 1?i1.08
正在阅读:
组合开关设计规范08-06
机械原理实验指导书 - 图文04-02
市委书记在全市整顿软弱涣散基层党组织工作会议上的讲话04-26
冯磊04-26
上海市宝山区2015届高三英语一模试卷及答案(官方版)04-19
浅析精神障碍者刑事责任能力评定05-14
幼儿卫生学教案11-13
四年级奥数天天练及答案107-04
- exercise2
- 铅锌矿详查地质设计 - 图文
- 厨余垃圾、餐厨垃圾堆肥系统设计方案
- 陈明珠开题报告
- 化工原理精选例题
- 政府形象宣传册营销案例
- 小学一至三年级语文阅读专项练习题
- 2014.民诉 期末考试 复习题
- 巅峰智业 - 做好顶层设计对建设城市的重要意义
- (三起)冀教版三年级英语上册Unit4 Lesson24练习题及答案
- 2017年实心轮胎现状及发展趋势分析(目录)
- 基于GIS的农用地定级技术研究定稿
- 2017-2022年中国医疗保健市场调查与市场前景预测报告(目录) - 图文
- 作业
- OFDM技术仿真(MATLAB代码) - 图文
- Android工程师笔试题及答案
- 生命密码联合密码
- 空间地上权若干法律问题探究
- 江苏学业水平测试《机械基础》模拟试题
- 选课走班实施方案
- 西南财经大学
- 金融
- 上期
- 考试题
- 天府
- 学院
- 市场
- 江苏省徐州市树人初级中学2019年第二次模拟考试 化学试题(含答案)
- 清水河简支梁桥设计
- 《钢铁是怎样炼成的》好句
- 无机材料科学基础题库 - 选择题
- 结构力学作业(1)
- 马立芹计算机论文(最终修改版).doc
- 重庆八中2012 - 2013学年度(上)期末考试高二年级
- 铁路 车务 运转系统 非正常接发车作业办理要点 36条
- 社会实践
- 燕山运动部分
- 地球科学概论
- 病史采集
- 某县乡村旅游农家乐建设项目可行性分析报告(完整版) - 图文
- 发电机氢水系统
- QC案例:机场—卓越QC小组课题报告 - 图文
- 数学建模 - 人口模型与预测
- 2017年秋国家开放大学(电大)学习指南形考任务1-5参考答案
- 厦门港水域船舶通航风险浅析
- 工地试验室管理办法(暂行)
- 入党申请书18-入党申请