spot price, spot rate < Finanzmathematik < Finanz+Versicherung < Hochschule < Mathe < Vorhilfe
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| Aufgabe | a)The government offers guarantees for the corporate debt of XYZ AG, The company plans to issue a three-year bond with an an annual coupon of 4,5%. Other bonds issued by XYZ trade with a credit spread of 4% p.a. The risk-free rate is at 1% p.a. for all maturities. Determine the value of the government guarantee if the debt of XYZ with a guarantee has a face value of 4 billion euros.
b) The following stock derivatives on a performance index (spot price S=200) are traded:
spot price Exercise Price E Time-to-Maturity T
Call 20 220 1 year
Call 14 200 0,5 year
Put 30 220 1 year
Determine the riskfree interest rate assuming a flat term structure up to 1 year.
c) You own a default-free two year zero coupon bond. You plan to sell the bond in one year and want to fix the price today. Determine the fair one-year forward price of the zero coupon bond given the following term structure.
Time-to-Maturity spot rate (p.a.)
1 year 1%
2 years 2 %
3 years 2 % |
Hallo liebe Forumfreunde,
leider fehlt mir jeglicher Ansatz zu den Aufgaben a)-c), daher wende ich mich an euch.
Ich hoffe, ihr könnt mir weiterhelfen.
Würde mich über jede Hilfe sehr freuen.
Vielen Dank im Voraus.
VG
Danyal
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(Mitteilung) Reaktion unnötig  | | Datum: | 17:20 Fr 21.11.2014 | | Autor: | matux |
$MATUXTEXT(ueberfaellige_frage)
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