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Find out the mean value for each stock using the `DataFrame.mean` function
using the `DataFrame.pivot` function to get mean for each stock.
- A credit card charges interest at an APR of 15.24%, compounded daily.
- A bank pays 0.2% monthly on the average amount on deposit over the month.
- A loan is made with a 6.0% annual rate, compounded quarterly.
Calculate EAR.
Part 1:
You are choosing between two investments of equal risk. You believe that
given the risk, the appropriate discount rate to use is 9%. Your initial
investment (outflow) for each is £500. One investment is expected to pay
out £1,000 three years from now; the other investment is expected to pay
out £1,350 five years from now. To choose between the two investments,
you must compare the value of each investment at the same point in time.
Part 2:
You are choosing between the same two investments, but you have reassessed
their risks. You now consider the five-year investment to be more risky
than the first and estimate that a 15% return is required to justify making
this investment.
A U.S. Treasury bond pays a 7% coupon on January 7 and July 7. How much
interest accrues per $100 of principal to the bondholder between July 7,
2017, and August 8, 2017?
How would your answer be different if it were a corporate bond?
It is January 9, 2018. The price of a Treasury bond with a 6% coupon
that matures on October 12, 2030, is quoted as 102-07.
What is the cash price?
A three-month SOFR futures price changes from 96.76 to 96.82. What is
the gain or loss to a trader who is long two contracts?
The 350-day LIBOR rate is 3% with continuous compounding and the forward
rate calculated from a Eurodollar futures contract that matures in 350 days
is 3.2% with continuous compounding. Estimate the 440-day zero rate.
It is January 30. You are managing a bond portfolio worth $6 million. The
duration of the portfolio in 6 months will be 8.2 years. The September
Treasury bond futures price is currently 108-15, and the
cheapest-to-deliver bond will have a duration of 7.6 years in September.
How should you hedge against changes in interest rates over the next
6 months?
The price of a 90-day Treasury bill is quoted as 10.00. What continuously
compounded return (on an actual/365 basis) does an investor earn on the
Treasury bill for the 90-day period?
It is May 5, 2021. The quoted price of a government bond with a 12% coupon
that matures on July 27, 2034, is 110-17. What is the cash price?
Suppose that the Treasury bond futures price is 101-12. Which of the
following four bonds is cheapest to deliver?
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Bond Price Conversion factor
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1 125-05 1.2131
2 142-15 1.3792
3 115-31 1.1149
4 144-02 1.4026
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It is July 30, 2021. The cheapest-to-deliver bond in a September 2021
Treasury bond futures contract is a 13% coupon bond, and delivery is
expected to be made on September 30, 2021.
Coupon payments on the bond are made on February 4 and August 4 each year.
The term structure is flat, and the rate of interest with semiannual
compounding is 12% per annum. The conversion factor for the bond is 1.5.
The current quoted bond price is 110. Calculate the quoted futures price
for the contract.
Bruce deposits 100 into a bank account. His account is credited interest
at an annual nominal rate of interest of 4% convertible semiannually.
At the same time, Peter deposits 100 into a separate account. Peter's
account is credited interest at an annual force of interest of δ.
After 7.25 years, the value of each account is the same.
Calculate δ.
Given that :math:`P(A \cup B) = 0.7` and :math:`P(A \cup B') = 0.9`.
Calculate :math:`P(A)`.