Q.1) In an FRA, an annualized rate of 3% will be
received and six-month LIBOR will be paid on a principal of USD
5,000,000 for a six-month period starting in 18 months. If the
annualized six-month forward rate in 18 months proves to be 3.5%,
what is the settlement on the FRA? When is it made?
Q.2) A three-year bond with a face value of USD 100 pays
coupons annually at the rate of 10% per year. Its yield is 7% with
annual compounding. What are (a) the Macaulay duration, (b) the
convexity, (c) the modified duration, and (d) the modified
convexity?
Q.1) In an FRA, an annualized rate of 3% will be received and six-month LIBOR will be paid on a principal of USD 5,000,
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Q.1) In an FRA, an annualized rate of 3% will be received and six-month LIBOR will be paid on a principal of USD 5,000,
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