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The forward rate, forward rate agreements, swaps, caps and oors in .NET Creation bar code 39 in .NET The forward rate, forward rate agreements, swaps, caps and oors




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The forward rate, forward rate agreements, swaps, caps and oors using .net vs 2010 toassign barcode code39 in asp.net web,windows application ISO Standards Table 5.2 (ii) Consider the swap rat e for 2.5 years. Now consider a receivers swap having this percentage as the xed rate.

The accrual period of the swap is six months, the rst exchange takes place in six months time and the swap has a tenor of 2.5 years. (iii) By (3) above, there is a bond (face value = $100) whose coupon payments match the xed leg of the swap and whose value, today, is the face value of the bond ($100).

(iv) By (4) above, we can use a bootstrapping technique to nd the interest rate associated with a maturity of 2.5 years. (i) The table giving swap rates for two years out to ve years is shown below.

. Interest rate swaps (US$) visual .net bar code 39 2 years 2.5 years 3 years 3.

5 years 4 years 4.5 years 5 years Bid 4.08 4.

29 4.44 4.54 Ask 4.

11 4.33 4.47 4.

58 Swap rate 4.095 (average of bid, ask) 4.2025 (average of 2y, 3y) 4.

31 4.3825 4.455 4.

5075 4.56. Financial Products (ii) and (iii) The 2.5-yea visual .net ANSI/AIM Code 39 r swap rate is 4.

2025%. Consider a bond (face value $100) paying a semi-annual coupon of 4.2025% per year.

The rst coupon ($2.10125) is paid out in six months time; the nal coupon (with the principal) is paid out two years later. By (3) above, the value of this bond, today, is $100.

The table below shows the cash ows from the bond and the interest rates pertinent to these maturities.. Maturity 0.5 1 1.5 2 2.

5 C ash payment 2.10125 2.10125 2.

10125 2.10125 102.10125 Interest rate (cont.

comp.) 0.03318 0.

03675 0.03942 0.04114 R.

(iv) The present value of .NET Code 3/9 all cash payments is 100. Hence: 2.

10125 e 0.03318 0.5 + 2.

10125 e 0.03675 1 + 2.10125 e 0.

03942 1.5 + 2.10125 e 0.

04114 2 + 102.10125 e R 2.5 = 100 We can write this as (this bit of algebra explains the Excel spreadsheet in Table 5.

3): 2.10125 (e 0.03318 0.

5 + e 0.03675 1 + e 0.03942 1.

5 + e 0.04114 2 ) + 102.10125 e R 2.

5 = 100 The terms in the brackets are the discount factors for maturities 0.5 years, 1 year, 1.5 years and 2 years.

2.10125 (sum discount factors)+102.10125 e R 2.

5 = 100 e R 2.5 = [100 2.10125 (sum discount factors)]/102.

10125 ln both sides: R 2.5 = ln(RightHandSideo ineabove) R= ln(RightHandSideo ineabove) 2.5 = 0.

04171. This gives the interest ra te for a maturity of 2.5 years. Now we know interest rates for all maturities through to 2.

5 years. The process starts again and calculates the interest rate for a maturity of three. The forward rate, forward rate agreements, swaps, caps and oors Table 5.3 years and so on out to ve 3 of 9 for .NET years. This is best performed on a computer and the results are shown in Table 5.

3. Here, the interest rates for maturities out to two years (D7:D10) are copied from Table 5.2.

Maturity (colA), swaprate (colB), rateC (colD) are range names. Column E contains the discount factors e rateC maturity . We can write equation as: e R 2.

5 = [100 2.10125 (SUM(E7 : E10))]/102.10125 ln both sides.

Then: R 2.5 = ln([100 2.10125 (SUM(E7 : E10))]/102.

10125) R = ln([100 2.10125 (SUM(E7 : E10))]/102.10125)/2.

5 This explains the Excel formula for column D in Table 5.3..

Financial Products Maturities greater than v Code 39 Extended for .NET e years and out to eight years Use US Treasury bonds. Interest rates out to ve years are known.

Select a US Treasury bond which pays its rst coupon in six months time and matures in 5.5 years. Use this bond (and bootstrapping) to calculate the interest rate pertinent to a maturity of 5.

5 years. Now, interest rates out to 5.5 years are known.

Select a US Treasury bond which pays its rst coupon in six months time and matures in six years. Calculate the interest rate for a maturity of six years, and so on. We illustrate the calculation for the 5.

5-year maturity. The bonds:. US Treasury bonds 5.5 year s 6 years 6.5 years 7 years 7.

5 years 8 years Coupon rate 5.02 5.5 6.

3 5.5 4.98 5.

96 Price today 102 104.1 108.4 103.

7 99.8 106. The 5.5-year bond pays a s 39 barcode for .NET emi-annual coupon of $2.

51. The value of this bond, today, is $102. The present value of all the cash payments from the bond must be $102.

Let the interest rate with a 5.5-year maturity be R. Hence: 2.

51 e 0.03318 0.5 + 2.

51 e 0.03675 1 + + 2.51 e 0.

04537 5 + 102.51 e R 5.5 = 102 Again, on the Left Hand Side, the coupon is multiplied by a succession of discount factors.

We can write: 2.51 (sum of discount factors) + 102.51 e R 5.

5 = 102 102.51 e R 5.5 = 102 2.

51 (sum discount factors) 102 2.51 (sumdiscountfactors) e R 5.5 = 102.

51 ln both sides: R 5.5 = ln(RightHandSide) ln(RightHandSide) R= 5.5 = 0.

04586 or 4.586%..

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