25620: Derivative Securities - UTS - Derivative Securities Assignment Writing Help

Internal Code : 1AAJHH

Derivative Securities Assignment Writing Help

TASK As a valued member of the UTS alumni you have been asked to be a guest lecturer for Derivative Securities (25620). Vinay has asked you to focus your lecture on interest rate futures contracts. In addition, to prepare yourself for this lecture Vinay has strongly recommended that you read Chapters 4 and 6 of the prescribed textbook authored by John Hull. a) The m-zero rate is the interest rate earned on an investment starting today and lasting for m periods. From Bloomberg you identify the following information from actively traded Treasury bonds which pay semi-annual coupons and have a face value of $100 Demonstrate to students using the bootstrap method how to calculate the continuously compounded zero rates for the 6 month and 12 month maturities. b) Zero-rates can be used to calculate the forward rate to borrow or invest at during a future time period. Using your answer to part a) to calculate the six-month continuously compounded forward rate. c) Describe one use from calculating zero-rates and the zero curve (other than the fact that zero- rates can be used to calculate forward rates)? d) Using the following information calculate the price of the bond: Annual coupon (with semi-annual payments) = $10 Yield to maturity = 4% p.a. with continuous compounding Time-to-maturity = 2 years Face value = $100. e) Using the following information calculate the price of the bond: Annual coupon (with semi-annual payments) = $10 Yield to maturity = 2% p.a. with continuous compounding Time-to-maturity = 2 years Face value = $100 f) Based on your answers to part d) and part e), is there a direct or inverse relation between bond prices and bond yields?