1) Two months from today you plan to borrow $3 million for 3 months at LIBOR. You hedge your interest rate risk with a euro dollar futures contract priced at 93.6. If settled in arrears, what is your payment if the 3-month LIBOR rate is 2.5% (not annualized) in two months?

2) IBM and AT&T decide to swap $1 million loans. IBM currently pays 9.0% fixed and AT&T pays 8.5% on a LIBOR+ 0.5% loan. What is the net cash flow for IBM if they swap their fixed loan for
a LIBOR+ 0.5% loan and LIBOR rises to 8.5%?

3) The S&P 500 Index price is 1492.28 and its annualized dividend yield is 2.30%. LIBOR is .2%. How many futures contracts will you need to hedge a $240 million portfolio with a beta of 1.16 for one year? (Show your Work)

4) The annual coupon rate on a 1-year treasury bond is 5.5%. The coupon on a 2-year treasury bond is 5.8%. What is the implied 1 year forward rate?

5) Three months from today you plan to borrow $1.8 Billion for 6 months at LIBOR. You hedge 65% of your interest rate risk with a euro dollar futures contract priced at 99.2. If settled in arrears, what is your payment if the 6-month LIBOR is .28% in two months?

6) The current currency spot rate is $1.30 per euro. If dollar denominated interest rates are .24% and euro denominated interest rates are .2%, what is the likely dollar per euro value of
a 2 year forward contract

7) The S&P 500 Index is priced at $1450.91. The annualized dividend yield on the index is 2.10%. The continuously compounded annual interest rate is .12%. What is the price of a forward contract that expires 18 months from today?

8) Six months from today you plan to borrow $433 million for 6 months at LIBOR. You hedge 100% of your interest rate risk with a euro dollar futures contract priced at 99.4. If settled in arrears, what is your payment if the 6-month LIBOR is 2.5625% in six months?

 

"Looking for a Similar Assignment? Get Expert Help at an Amazing Discount!"

1. Using the function mp Sample TW, compute the average uniqueness of each label. What is the first-order serial correlation, AR(1), of this time series? Is it statistically significant? Why?

2. Fit a random forest to a financial dataset where

(a) What is the mean out-of-bag accuracy?

(b) What is the mean accuracy of k-fold cross-validation (without shuffling) on the same dataset?

(c) Why is out-of-bag accuracy so much higher than cross-validation accuracy? Which one is more correct / less biased? What is the source of this bias?

 

 

"Looking for a Similar Assignment? Get Expert Help at an Amazing Discount!"

1. Using the code presented in Section 8.6:

(a) Generate a dataset (X, y).

(b) Apply a PCA transformation on X, which we denote Ẋ.

(c) Compute MDI, MDA, and SFI feature importance on (Ẋ,y), where the base estimator is RF.

(d) Do the three methods agree on what features are important? Why?

2. From exercise, generate a new dataset (Ẍ,y), where Ẍ is a feature union of X and Ẋ .

(a) Compute MDI, MDA, and SFI feature importance on (Ẍ,y), where the base estimator is RF.

(b) Do the three methods agree on the important features? Why?

 

 

"Looking for a Similar Assignment? Get Expert Help at an Amazing Discount!"

1. What are teams and how are they formed? Consider this question in the context of your
group and the board of your Central Bank.
2. How successful is your team in deriving their recommendation? Is your team able to agree
on and manage their schedule? Are their different opinions and how are they resolved?
3. Assume that you are the chairman of the central bank board and your team mates are board
members. How would you handle different opinions and would you do things differently
compared to what your team did?
4. Now assume that you are board member and have a different recommendation to other
board members. Having gone through this process, how might you contribute to the
discussion differently in the future?

Attachments:

The-video-we-….mp4Mock-Central-…Marking-rubri….pdfIndividual-re….pdfGroup-meeting….pdf

 

"Looking for a Similar Assignment? Get Expert Help at an Amazing Discount!"

1. We revisit here the vibration absorber introduced in Show that the solution x(t) derived from indeed verifies the mathematical model of the two-dof system at hand. Furthermore, find the natural frequencies and the modal vectors of the same two-dof system.

2. We refer here to the rotor-shaft system of Fig. 4.6a, as introduced in Investigate under which conditions θ˙ vanishes and give a physical interpretation of this case.

 

 

 

 

 

 

 

 

 

 

 

 

 

"Looking for a Similar Assignment? Get Expert Help at an Amazing Discount!"