Finance Homework
McGraw-Hill/Irwin Copyright © 2013 by The McGraw-Hill Companies, Inc. All rights reserved.
Exam 3 Review Session
Chapter 10, 11, 15
5-2
How to determine your course grade • Quizzes - 10% (Average of the top 8 quizzes)
• Excel projects - 5% (Average of the two excel projects)
• Exam 1 - 25%; Exam 2 - 25%; Final Exam - 25%
• Final Project and Presentation - 10%
• Average of the report and presentation grades
• Teammate evaluation
• Extra Credits - 25%
93.4 or above = A 90.0 – 93.3 = A- 76.7 – 79.9 = C+ 63.4 – 66.6 = D 86.7 – 89.9 = B+ 73.4 – 76.6 = C 60.0 – 63.3 = D- 83.4 – 86.6 = B 70.0 – 73.3 = C- Below 60.0 = F 80.0 – 83.3 = B- 66.7 – 69.9 = D+
5-3
Extra credit opportunities
• CFA talk attendance – 2 points
• Industry analysis – max 3 points
• Portfolio contest – max 11 points
• 3 points if 5 trades are made each month
• 3 points for portfolio competition reflection
• 3-5 points for top 6 performers
• CFA ethics online class – 5 points
• In-class participation – max 5 points
5-4
Final exam
• Time and Date 10:15am-12:15pm - 05/18/18
• Location: 101 Bachelor Hall
• Additional office hours: 2 PM- 4 PM - 05/17/18
• 6 Problems
• Interest rate option strategy
• Option trading strategy
• Bond clean price & invoice price
• Horizon analysis
• Duration and convexity
• Duration hedging & CF hedging
5-5
Sample Questions
5-6
Sample Questions
5-7
Sample Questions
5-8
Sample Questions
5-9
Sample Questions
5-10
Bond prices between coupon dates*
Coupon Rate: 4.375% Matures: Nov 15, 2039
Settlement date 8/15/2011
Maturity date 11/15/2039
Annual coupon rate 0.04375
Yield to maturity 0.03697
Redemption value (% of FV) 100
Coupon payments per year 2
Flat price (% of par) 111.819
Days since last coupon 92
Days in coupon period 184
Accrued interest 1.094
Invoice price 112.913
1. So, we are now looking for the value of the bond as of period 0.5. We first need to calculate the PV of the cash flows as of the previous payment date (5/15/2011). Enter the data: N=57, I/Y=1.8485, PMT=21.875, and FV=1000. You will find PV=-1118.83
2. Now we need to find the future value of $ 1118.83 one-half of a period in the future: 1118.83(1.018485)0.5 = 1129.13, this gives us the "dirty" price of the bond.
3. To find the clean (quoted) price, we subtract the accrued interest from the dirty price: Clean Price = Dirty Price - Accrued Interest = 1129.13 - 21.875*0.5=111.819
*Please refer to “BAII Plus Bond Valuation” for detailed explanations.
5-11
Sample Questions
5-12
Sample Questions
5-13
Sample Questions
5-14
Sample Questions
5-15
Sample Questions