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1st task <Margin balance> *

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1st task <Margin balance>

*. A trader sold 5 KOSPI 200 futures. One day, the futures closing price ended at 275.15.

At the time, his gift account balance was 94.5 million won. This position when the futures price is 281.05 a week later

If you have sorted out, what would be the balance of this trader's futures account? (For 1 contract, 1 gift point is 500,000 won

It is configured to correspond to. It is assumed that there were no withdrawals or additional margin payments in the middle.)

 

<Interest rate compounding period conversion>

*. Imagine that you put a year on a deposit that pays 8% interest in a compounded way four times a year.

character. If compounding is taken twice a year while guaranteeing the same sum of principles, this is expressed as an interest rate of a few percent per year.

Should it be? Also, is this equivalent to annual% as continuous compounding?

<Derivation of term structure from bond price>

*. The following bonds are traded on the market.

 

Bond face maturity (unit: year) Annual interest Bond price

100 0.5 0 96.5

100 1.0 0 92.8

100 1.5 6 97.5

100 2.0 8 99.8

 

Bonds paying interest in the middle are paid twice a year. That is, for example, in the case of the last bond in the table above

Cash flows of 4, 4, 4 and 104 are obtained at 0.5, 1.0, 1.5, and 2.0 (years), respectively.

 

From the above bond prices, calculate the continuous compound interest rates of 0.5, 1.0, 1.5, and 2.0 (years) maturities, respectively. (Expressed in %,

Count to 4 decimal places. For example, 8.4559%)

 

<Leading interest rate>

*. r(t) is the spot rate (spot rate) to maturity in year t, and f(s,t) is the forward rate between s and t.

Let's say it displays. It was given as follows:

 

r(1) = 5%, r(2) = 5.2%, r(3) = 5.4%, r(4) = 5.6%

 

Calculate f(1,2), f(2,3), and f(1,4) respectively.