Chapter 08
Problem 04
Input Area:
Current Scenario Future Scenario
Amount borrowed 500,000,000 500,000,000
Interest rate 3.50% 4.50%
Maturity in days 180 180
Output Area:
Interest cost 8,750,000 11,250,000
Chapter 08
Problem 07
Input Area:
Bond duration (years) 10.48
Price associated with 1 t–bond contract $113,187.50
Current Interest rate 5.00%
Interest rate after change 5.25%
Output Area:
Change in value of contract -$2,824.30
Chapter 08
Problem 08
Input Area:
Asset duration (years) 7
Liability duration (years) 1.75
Bond duration (years) 10.36
Price associated with 1 t–bond contract $112,531.25
Total assets $100,000,000
Total liabilities $88,000,000
Output Area:
Number of contracts needed for hedge 468
Chapter 08
Problem 16
Input Area:
Amount borrowed 100,000,000
Current Interest rate 4.50%
Interest rate at time of borrowing 5.50%
Interest rate cap 5.00%
Term of borrowing (months) 1.00
Output Area:
Total Interest Owed $458,333.33
Interest Rebate $41,666.67