What is the value of an fra

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1) The yield curve is flat at 6% per annum. What is the value of an FRA where the holder receives interest at the rate of 8% per annum for a six-month period on a principal of $1,000 starting in two years? All rates are compounded semiannually. (Answer is $8.63, please show me the full calculations for it)

2) The six-month zero rate is 8% per annum with semiannual compounding. The price of a oneyear bond that provides a coupon of 6% per annum semiannually is 97. What is the one-year continuously compounded zero rate? (Answer is 9.02%, please show me full calculations for it)

3) Which of the following is closest to the duration of a 2-year bond that pays a coupon of 8% per annum semiannually? The yield on the bond is 10% per annum with continuous compounding. (Answer is 1.88, please show me full calculations for it)

4) At the end of one day a clearing house member is long 100 contracts and the settlement price is $50,000 per contract. The original margin is $2000 per contract. On the following day the member becomes responsible for clearing an additional 20 long contracts, entered into a price of $51,000 per contract. The settlement price at the end of this day is $50,200. How much does the member have to add to its margin account with the exchange clearing house?

Reference no: EM131401864

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