Suppose we get into a swap with a notional principal of $1,000,000.

We are the fixed-rate payer, and we pay monthly. The fixed payments rate is 11.98%. Our counter-party makes floating-rate payment on the basis of LIBOR. What would be our payoff, if the LIBOR at the upcoming payment time becomes 11.10%?

2. Suppose you enter into a long 6-month forward contract with F=94. What is the payoff in 6 month, if the spot price jumps up to S=86.

3. Suppose you enter into a long 3-month futures contract with F=1345. What is the payoff in 3 month, if the spot price jumps up to S=1238. (Suppose no margin calls happened in the 3 months)

4. A US-based exporter anticipated receiving 1000British Pound(GBP) in six months, and took a short forward position, locking-in an exchange rate of $1.38/GBP. If six months later at maturity, thespot exchange rate becomes $1.48/GBP,what is the payoff of the exporter?

Note: For all the questions regarding Payoff or Profit/Loss, if you find out a positive value,then you just use the number as the answer of the question. If you find out a negative value,then you should put "-"when you put down your answer. For instance,if you get the payoff of100US Dollars,just put100in your final answer;if you get the payoff of-100US Dollars,just put-100in your final answer if you find out a positive value,then you just use the number as the answer of the question. If you find out a negative value,then you should put "-"when you put down your answer. For instance,if you get the payoff of100US Dollars,just put100in your final answer;if you get the payoff of-100US Dollars,just put-100in your final answer.

5. Suppose we enter into a 150-day T-bill futures contract quoted at 1%. The notional amount is $1,000,000. What is the quoted price?

6. For a FRA,if it uses 180-Day LIBOR that expires in 3months,we call it FRA

7. Suppose that a party wanted to enter an FRA that expires in 42 days and is based on 112-day LIBOR. The dealer quotes a rate of 0.0357 on the FRA. Assume that at expiration, the 112-day LIBOR is 0.0494, and the notional amount is USD15,000,000. What is the payoff of the FRA long position?

8. Consider a hypothetical futures contract in which the current price is $82. The initial margin requirement is $5, and the maintenance margin requirement is $2. You go long 20 contracts and meet all margin calls but do not withdraw any excess margin.

The settlement price and the spot price of the underlying from day 0 to day 6 look like the following:

Day	Settlement Price
0	82
1	84
2	78
3	73
4	79
5	82
6	84

(1) Suppose you receive margin call at the beginning of the next trading day. You need to put up additional fund into your account, if your beginning balance is less than maintenance margin. The first day that you will receive margin call should be Day

(2) The total amount that you are going to put in your account, from day 0 to day 6, will be