Bond prices and interest rates are ___ related to each other.A.diverselyB.adverselyC.dow

A.diversely

B.adversely

C.down

D.inversely

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更多“Bond prices and interest rates…”相关的问题

第1题

Amy Lee, a fixed income analyst gathers the following table with the yields and correspo

nding prices for a hypothetical 10-year option-free bond which initially yields 8%:

Using a 10 basis point rate shock, the duration of this bond is closes to:

Amy Lee, a fixed income analyst gathers the follow

A. 8.78

B. 17.56

C. 4.39

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第2题

你注意到了过去几个月里债券价格的上升。这意味着利率发生了怎样的变化？试解释。You have notice

你注意到了过去几个月里债券价格的上升。这意味着利率发生了怎样的变化？试解释。

You have noticed that bond prices have been rising over the past few months. All else equal,what does this suggest has been happening to interest rates？ Explain.

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第3题

If the bank enters an arbitrage play involving the cheapest-to-deliver Treasury bond, which of the following

Susan Baker is a new hire at Crinson Bank’s Chicago office. She has joined the risk arbitrage desk where she will be training to take advantage of price discrepancies in the U.S. T-note futures and spot markets.

Her managing director, Gerald Bigelow, has asked her to calculate parameters for potential arbitrage opportunities for the bank given current market conditions. At the time he asked the question, the cheapest-to-deliver T-notes were at par, with a coupon rate of 8.5 percent. When trading futures, the risk arbitrage desk borrows at 12 percent and lends at 4 percent.

Looking at the calendar, Baker calculates that there are 184 days to the first coupon payment and 181 days from the first coupon payment to the second. Any interest accrued will be paid when the T-note is delivered against the futures contract, but Bigelow asks Baker not to concern herself in the calculations with the impact of reinvesting the coupons or with transaction costs.

To get a feel for the market, Baker first prices a 6-month futures contract that has 184 days to expiration in a “simplified scenario.” She decides to use the same interest rate for borrowing and lending, taking the average of the bank’s borrowing and lending rates. Calculating the futures price under these simplified assumptions, Baker tells Bigelow that the futures contract should trade at 99.7059. Bigelow explains that the futures price is below par even though the spot price is at par because of the benefit to a short seller of receiving the T-note coupon payments.

Having calculated the futures price in the “simplified scenario,” Baker modifies it to reflect the bank’s current borrowing and lending rates, and calculates the corresponding no-arbitrage bands. She tells Bigelow that the lower band will be at 97.7468. Bigelow checks her calculations, confirming that the higher band will be at 101.6294.

Once they know the no-arbitrage bands for current market conditions, Baker and Bigelow check the screen. They see that the market price of the futures contract for which they’ve been calculating no-arbitrage bands is 103. Together, they execute Baker’s first arbitrage play.

Part 6)

If the bank enters an arbitrage play involving the cheapest-to-deliver Treasury bond, which of the following statements is INCORRECT？

A)The short position decides which bond to deliver.

B)The arbitrage play is no longer risk-free if the bank has a long position in the cheapest-to-deliver bond.

C)The long position has the advantage in the arbitrage play.

D)The cheapest-to-deliver bond may change during the life of the contract.

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第4题

8255A中INTE

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第5题

Formation of a contract generally requires an （), offer, acceptance and a mutual inte