Answers to Chapter 2 quiz
1. Use A/360; US$7152.78.
2. €15,735,794.08, use eight figures after the decimal point on the discount factor.
3. £5,460,125.13.
4. £/$.1.8750.
Answers to Chapter 6 quiz
1. 50 contracts and sell them.
2. $41,250 profit (33 ticks × 50 contracts × $25).
3. This is a 6 × 12 transaction dealing at 4.53 per cent.
4. £25,771.01 settlement, paid on the settlement date by the bank to Client A. This is a discounted amount.Amount before discounting = £26,282.19Discount factor = 0.98055018.
Answers to Chapter 7 quiz
1. Premium is €480,000€50,000,000 × 0.96%, paid up-front.
2. Premium earned is £5,609.59, due up-front.£5,000,000 × 0.45% × 91/365
3. Pay fixed.
4. False. You should add the swap spread.
Answers to Chapter 9 quiz
Get Mastering Derivatives Markets, 4th Edition now with the O’Reilly learning platform.
O’Reilly members experience books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.
