Estimate the forward interest rate in an fra

Assignment Help Financial Management

Reference no: EM131236052

1. A Eurodollar futures quote for the period between 5.1 and 5.35 years in the future is 97.1. The standard deviation of the change in the short-term interest rate in one year is 1.4%. Estimate the forward interest rate in an FRA.

2. It is March 10, 2011. The cheapest-to-deliver bond in a December 2011 Treasury bond futures contract is an 8% coupon bond, and delivery is expected to be made on December 31, 2011. Coupon payments on the bond are made on March 1 and September 1 each year. The rate of interest with continuous compounding is 5% per annum for all maturities. The conversion factor for the bond is 1.2191. The current quoted bond price is $137. Calculate the quoted futures price for the contract.

Reference no: EM131236052

Questions Cloud

Explain the difference between errors faults and failures : Explain the difference between errors, faults, and failures. Give an example of an error that leads to a fault in the requirements; the design; the code. Give an example of a fault in the requirements that leads to a failure; a fault in the design..

Write about a small town volunteer ems : I need a 250 word nomintation essay. It will be about a small town volunteer EMS (emergency medical system) that went to a paid program after joining the hospital district

What is the final settlement price on the futures contracts : What rate can the company lock in by using the Eurodollar futures contract? - What position should the company take in the contracts?

Proportion of the workers earn : The distribution of the monthly earnings of workers in the mining industryin Canada is bell shaped and fairly symmetrical with mean 3840CAD and a standard deviation of 240 CAD. Approximately, what proportion of the workers earn between 3360 CAD to..

Estimate the forward interest rate in an fra : A Eurodollar futures quote for the period between 5.1 and 5.35 years in the future is 97.1. The standard deviation of the change in the short-term interest rate in one year is 1.4%. - Estimate the forward interest rate in an FRA.

Explain factor that affect demand and prices of that product : Define the type of market in which your selected product will compete, along with an analysis of competitors and customers. Analyze any comparative advantages and international trade opportunities.

Deliver flowers and flower arrangements in the greenville : Keith's Florists has 16 delivery trucks, used mainly to deliver flowers and flower arrangements in the Greenville, South Carolina, area. Of these 16 trucks, 7 have brake problems. A sample of 6 trucks is randomly selected. What is the probability ..

What arbitrage opportunities are open to the bank : The Eurodollar futures price for a contract maturing in 91 days is quoted as 89.5. What arbitrage opportunities are open to the bank?

Draw a conclusion concerning the overall test : PSY248 Assignment - Draw a conclusion concerning the overall test and Interpret and draw conclusions about the results of the analysis you have performed, making explicit the decision rule you are using.

User Account

All Pages