1 A long forward contract on a non-dividend-paying stock was entered into some time ago. It currently has 6 months to maturity. The risk-free rate

1 A long forward contract on a non-dividend-paying stock was entered into some time ago. It currently has 6 months to maturity. The risk-free rate with continuous compounding is 8.1% per annum, the stock price is $38.15 and the delivery price is $30. Calculate the value of the forward contract?

2 Calculate the present value of $100 in 7 years using 9.8% interest rate with continuous compounding.

3 A bank wants to lock in the 3-month interest rate starting between 6/20/2017 and 9/20/2017. Currently, 6/2017 Eurodollar futures price is 95.53 and 9/2017 Eurodollar futures price is 97.55. What is the lock in 3-month interest rate between 6/2017 and 9/2017? (margin of error: +/- 0.01%)

4) When one buys a futures contract today, he pays the futures price today.

True

False

4) A forward contract always has 0 values.

True

False

5 ) On 2/15/2015, a 3-year forward contract, expiring 2/15/2018, on a non-dividend-paying stock was entered into when the stock price was $135 and the risk-free interest rate was 9.8% per annum with continuous compounding. 1 year later, on 2/15/2016, the stock price becomes $145. What is the "delivery" price of the forward contract entered into on 2/15/2015?

6 ) An interest rate swap between A and B can only benefit one but not both.

True

False

7) The value of an interest rate swap is equal to zero.

True

False

8) Interest rate derivatives are the largest market among derivatives. 

True

False

9) In order for a bond portfolio to protect against higher interest rate, he should buy T-note futures. 

True

False