Financial engineering principles phần 7 potx

... Difference ϩ400 76 .1448 71 . 573 5 4. 571 3 ϩ300 81. 072 4 78 .2050 2.8 674 ϩ200 86.4398 84.8365 1.6033 ϩ100 92.29 17 91.4681 0.8236 0 98.0996 98.0996 0.0000 Ϫ100 105.6525 104 .73 11 0.9214 Ϫ200 113. 277 7 111.32 27 1.9550 Ϫ300 ... 1.9344 3. 676 3 6.8399 3.8125 2.9344 3.4009 9. 979 6 3.8125 3.9344 3. 271 0 12.8694 3.8125 4.9344 3.1461 15.5240 3.8125 5.9344 3.0259 17. 9 571 3.8125 6.93...

Ngày tải lên: 09/08/2014, 16:21

... /8.00 8.00 /8.00 12 Month 8.25 /8.50 7. 75 /7. 50 8.00 /8.00 18 Month 8.50 /9.00 7. 50 /7. 00 8.00 /8.00 24 Month 8 .75 /9.50 7. 25 /6.50 8.00 /8.00 30 Month 9.00 /10.00 7. 00 /6.00 8.00 /8.00 Scenario A: ... 3 Month (%) 6 Month (%) 12 Month (%) United States 6.0625 6.1 875 6.2650 Canada 9.1 875 9.2500 9. 375 0 United Kingdom 11.5625 11. 375 0 11.2500 02_200306_CH02/Beaumont 8/15/03 12:4...

Ngày tải lên: 09/08/2014, 16:21

... con- tact our Customer Care Department within the United States at 800 -76 2-2 974 , outside the United States at 3 17- 572 -3993 or fax 3 17- 572 -4002. Wiley also publishes its books in a variety of electronic ... in Canada. ISBN 0- 471 -46358-2 (cloth) 1. Financial engineering. I. Title. II. Series. HG 176 .7. B42 2003 658.15’224—dc21 2003011338 Printed in the United States of America....

Ngày tải lên: 09/08/2014, 16:21

... the following calculation: F ϭ S(1 ϩ RT) 99.2403 ϭ 98 .78 75 ϩ 98 .78 75 ϫ (1 ϩ 5.5% ϫ 30/360). The difference between the cash price of 98 .78 75 dollars and the for- ward price of 99.2403 dollars, ... say we have a three-month Treasury bill with 90 days to maturity and with a dollar price of 98 .78 75 (from a rate of discount of 4.85 percent). Let us further assume that the prevailing force...

Ngày tải lên: 09/08/2014, 16:21

... 0.06 2 .76 86. 57 5.68 0 .71 0. 17 0.01 0.01 4.03 Baa 0.05 0.32 6.68 80.55 5 .72 0.95 0.08 0.15 5.49 Ba 0.03 0. 07 0.51 5.20 76 .51 7. 40 0.49 1.34 8.46 B 0.01 0.04 0.16 0.60 6. 07 76.12 2.54 6.50 7. 96 Caa—C ... with its old rating intact or with a new rating assigned. Sometimes Credit 75 03_200306_CH03/Beaumont 8/15/03 12:42 PM Page 75 (when a transaction of some type is agreed u...

Ngày tải lên: 09/08/2014, 16:21

... src="data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAAogAAAEYCAIAAABQpZAzAAAACXBIWXMAABYlAAAWJQFJUiTwAAAgAElEQVR42u3df1RTd 57/ 8dudHE+LXdtDkqM94lS/4pDV83VcgRFJqZZ2HCiIzqws3YKBg3VnOlYSPB2/PZ1WkbHdjvVggrXuWZUDqPNdB6Yqksp0d5CuRaUmXad7tGHVb7srPdM55LrVba8znsz6/eNOP94JIQRISG54Pv7oCREtuSF55f15f37cM/fh2RIAAEgM99y5c4erAABAgvgzLgEAAAQzAAAgmAEAIJgBAADBDAAAwQwAAAhmAAAIZgAAQDADAEAwAwAAghkAAIIZAAAQzAAAgGAGAI...

Ngày tải lên: 09/08/2014, 16:21

... denominated in yen, euros, Australian dollars, and so forth. Financial Engineering 1 57 04_200306_CH04/Beaumont 8/15/03 12:49 PM Page 1 57 of the callables is a 10-noncall-2, but each has a different ... “catch up” as a previous day’s close rolls into the next business day’s subsequent open. Financial Engineering 1 67 2 Portfolio managers generally have some time—perhaps up to one...

Ngày tải lên: 09/08/2014, 16:21

... obligations 202 FINANCIAL ENGINEERING, RISK MANAGEMENT, AND MARKET ENVIRONMENT 6 F. Black and M. Scholes, “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy, 81 (May–June 1 973 ): ... spot profile will occur as time passes. FIGURE 5. 17 Payoff profile for a forward or future. 05_200306_CH05/Beaumont 8/15/03 12:52 PM Page 2 07 coupon-bearing Treasury, and p...

Ngày tải lên: 09/08/2014, 16:21

... 3.83 Single-A corporate bond 76 6.34 5.01 4. 37 3 .74 20-year Maturities Fannie Mae 25 6. 17 4. 87 4.26 3.64 TVA 25 6. 17 5.24 4.63 4.01 Single-A corporate bond 84 6 .76 5.34 4.66 3.99 (1) Represents ... (3) Fannie Mae 2 5.66 4. 47 3.91 3.34 FHLB 21 5.66 4.81 4.25 3.68 Single-A corporate bond 59 6.04 4 .77 4. 17 3.56 10-year Maturities Fannie Mae 30.5 5.89 4.65 4.06 3. 47 FHLB 30.5 5...

Ngày tải lên: 09/08/2014, 16:21

... 129 278 INDEX 07_ 200306_Index/Beaumont 8/15/03 4:05 PM Page 278 FHLMC. See Federal Home Loan Mortgage Corporation Financial engineering, 113 appendix, 161– 170 Financial fundamentals, 5 Financial ... 126 Depreciation, 8 Derivatives, 7. See also Credit derivatives Dirty prices, 37, 115, 174 . See also U.S. Treasury note calculation. See Forward dirty price calculation Index 277 0...

Ngày tải lên: 09/08/2014, 16:21