(i) Outline the historical origins of the derivatives markets in Chicago. [8] You are given the...

 

Transcribed Image Text:

(i) Outline the historical origins of the derivatives markets in Chicago. [8] You are given the following information about the EURE yield curve, as at 1ª April 2020. O/N T/N IWK 1 Month 3 Month Jun 2020 Euribor Future Sep 2020 Euribor Future Dec 2020 Euribor Future (ii) Mar 2021 Euribor Future 1 yr Swap Rate 2 yr Swap rate 0.1% 0.2% 0.2% 0.25% 0.28% 99.75 99.72 99.7 99.65 0.5% 0.8% You are working in the Capital Markets division of BAFS Investment Bank. A counterparty of BAFS Investment Bank is due to pay the bank €1,000,000 on 1 December 2020 and €1,000,000 on 1 April 2022. You can assume the Swap rates are quoted on an Ann Act/360 basis. A calendar is given on the next page. Stating any assumptions that you make: Calculate the present value of the two payments as at 1¹ April 2020. [15] [Total 23] (i) Outline the historical origins of the derivatives markets in Chicago. [8] You are given the following information about the EURE yield curve, as at 1ª April 2020. O/N T/N IWK 1 Month 3 Month Jun 2020 Euribor Future Sep 2020 Euribor Future Dec 2020 Euribor Future (ii) Mar 2021 Euribor Future 1 yr Swap Rate 2 yr Swap rate 0.1% 0.2% 0.2% 0.25% 0.28% 99.75 99.72 99.7 99.65 0.5% 0.8% You are working in the Capital Markets division of BAFS Investment Bank. A counterparty of BAFS Investment Bank is due to pay the bank €1,000,000 on 1 December 2020 and €1,000,000 on 1 April 2022. You can assume the Swap rates are quoted on an Ann Act/360 basis. A calendar is given on the next page. Stating any assumptions that you make: Calculate the present value of the two payments as at 1¹ April 2020. [15] [Total 23]

Answer rating: 100% (QA)

Assumptions 1 All rates are quoted on an Ann Act360 basis 2 There are no other factors th... View the full answer