Question 1. The three year zero rate is 7% per annum and the four year zero rate

Question

Question 1.       The three year zero rate is 7% per annum and the four year zero rate is 7.5% pa (both continuously compounded). What is the one year (continuously compounded) forward rate starting in three years time?

(2 marks)

2.       The zero rate curve is flat at 6% pa with semi-annual compounding. What is the value of a FRA where the holder receives interest at the rate of 8% per annum with semi-annual compounding for a six month period on a principle of $1000 starting in 2 years?

(2 marks)

3.       The margin requirement on the S&P/ASX 200 futures contract is 10% and the stock index is currently 4400. Each contract has a multiplier of $25. How much margin must be put up for each contract sold? If the futures price falls by 1% to 4356, what will happen to the margin account of an investor who holds one contract? What will the investor

Explanation / Answer

1.RF= =0.3-0.21=0.09

Related Questions

Navigate

• Browse (All)
• Browse Q
• Subjects

Integrity-first tutoring: explanations and feedback only — we do not complete graded work. Learn more.