这五个题目是我们老师强调说必须做对的题目里面我有困惑的地方。 因为我的老师强调必须做对它们，但又不给出答案来， 所以我现在非常郁闷。 在这里求助各位能否给出答案或者思路来让我能check一下，非常非常感谢。
1.A company wishes to finance its acquisition of an asset costing $10,000 through a four year lease. The terms of the lease are: 10% per annum effective interest rate, monthly payments in arrears, 40% residual. The corporate tax rate is 40%.
Required:
(1). What is the effective price paid for the lease after tax? (Assume that the lessee’s opportunity cost of capital is 14%).
(2). What rate of return (IRR) does the lessor earn after tax?
(3). Suppose that the lessor wishes to increase its IRR by leverage. It borrows $9,000 of the $10,000 purchase price of the asset (secured against that asset) at 11% effective per annum (what is the nominal rate?). This is an interest only loan with monthly payment in arrears. What is the IRR on this leveraged lease?
2. Suppose portfolios A and B have the same cash-flow stream and have the same value at some future time T. Show that if the market is free of arbitrage opportunities, then the two portfolios must have the same value now.
3. It is July 30, 2006. The cheapest to deliver bond in a September 2006 US Treasury bond futures contract is a 13% coupon bond, and delivery is expected to be made on September 30, 2006. Coupon payments are made on February 4 and August 4 each year. The term structure is flat, and the rate of interest with semi-annual compounding is 12% per annum. The conversion factor for the bond is 1.5. The current quoted bond price is $110. Calculate the quoted futures price for the contract.
4. Suppose the 60-to-150 day FRA rate is 4.30%, the 60-day bill rate is 4.25% and the 150-day bill rate is 4.40%. Show that there exists an arbitrage opportunity and construct an appropriate portfolio to take advantage of this opportunity. Carefully account for all the cash-flows.
5. A business is considering outsourcing its IT function. The cost savings in Year 1 will be either $200 (probability 0.7) or -$300 (probability 0.3). If the savings in Year 1 are $200, there will be annual savings thereafter of $200. But if the Year 1 savings are -$300, then the annual savings thereafter (Year 2 onwards) will be either -$300 (probability 0.4) or -$500 (probability 0.6). If the company has a 10% cost of capital, should it outsource? | 
发表于 2009-4-30 20:21
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