[2008]Topic 14: Interest Rate Futures相关习题 discount, price

Baran

AIM 1: List and apply the three most commonly used day count conventions.

 

1、Calculate the per annum discount rate of a 180-day T-bill with a cash price of 98.

A) 4.08%.
 
B) 2.04%.
 
C) 3.40%.
 
D) 1.13%.

Baran

 

The  correct answer is C

[此贴子已经被作者于2009-6-24 16:35:47编辑过]

Baran

The  correct answer is C
Since the deliverable underlying T-bonds have very different market values, the CBOT has created conversion factors. The conversion factor defines the price received by the short position of the contract.

Baran

AIM 5: Formulate a duration-based hedging strategy using interest rate futures.

1、John Jordan manages a bond portfolio valued at $11.2 million, which has a duration of five years. To hedge against an increase in interest rates, he wishes to employ interest-rate futures. The deliverable on the current futures contract has a duration of seven years, and the futures contract is trading at 97.5. To hedge the position, Jordan must:

A) buy 82 contracts.
 
B) sell 54 contracts.
 
C) sell 82 contracts.
 
D) buy 54 contracts.

Baran

3、The day count convention used to calculate accrued interest on U.S. Treasury bonds is:

A) actual/actual.
 
B) actual/360.
 
C) 30/360.
 
D) 30/365.

Baran

The  correct answer is A
The day count convention for calcuating interest for T-bonds is actual/actual

Baran

AIM 3: Explain the U.S. Treasury bond (T-bond) futures contract conversion factor.

 

1、Because there are a large number of available Treasury bonds (T-bonds) available for delivery on the futures market, which of the following defines the price received by the short position of the futures contract?

A) Wild card option.
 
B) Chicago Board of Trade (CBOT) factor.
 
C) Conversion factor.
 
D) Market yield option.

Baran

The  correct answer is A
For 180-days the return is: (100 – 98) / 98 = 2.04%. The annualized rate based on 180-day compounding is: 2.04% (360 / 180) = 4.08%.

Baran

2、A semi-annual pay bond with a $100 par value pays coupons on March 1 and September 1. The annual coupon is 8%, and it is currently June 13. Compute the accured interest of this bond as a T-bond.

A) $2.26.
 
B) $2.29.
 
C) $4.52.
 
D) $4.58.

Baran

The  correct answer is A
Using the actual/actual convention there are 184 days between coupon payments and 104 days from March 1 and June 13.

Accured interest: 104/184 × $8/2 = $2.26.