Financial derivatives formerly kap 1-5

The exercise was created 02.02.2025 by Makizon. Anzahl Fragen: 13.

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  • basis b=S-F
  • Suppose continuously compounded interest rate, what is today's spot price (if it's a 9m forward contract)? S=F/e^(r*(m/12))
  • Forward price formula F=S*e^(r*T)
  • PV of dividends? PV of div=div/e^(r*(m/12))
  • forward price when there's dividends? F=(S-PV div)*e^(r*(m/12))
  • Value of long position f=(F2-F1)*e^(r*(m/12))
  • What are the rates with continuous compounding? (semi annual) Rc=2*ln(1+(zero/2))
  • What is the forward rate for the six-month period beginning in 12 months with continuous compounding? f(12,18)=((Rc2*1,5)-(Rc1*1))/(1,5-1)
  • What is the forward rate for the six-month period beginning in 12 months with semiannual compounding? f(12,18)=2*e^(Rc1*1)+2*e^(Rc2*1,5)+2*e^(Rc3*2)
  • Value of FRA with fixed and compounded semi annually FRA(12,18)=(principal*(fixed-fsemiannual)*(1,5-1))/e^(Rc2*1,5)
  • What is the minimum variance hedge ratio? h*=p*(deltaS/deltaF)
  • What is the optimal number of futures contracts with no tailing of the hedge? no tailing=h**(asset units/future contract units)
  • What is the optimal number of futures contracts with tailing of the hedge? with tailing=h**(asset units/future contract units)*(S/F)

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