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Mastering Derivatives Markets, 4th Edition by Francesca Taylor

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Answers to Chapter 2 quiz

1. Use A/360; US$7152.78.

2. €15,735,794.08, use eight figures after the decimal point on the discount factor.

3. £5,460,125.13.

4. £/$.1.8750.

Answers to Chapter 6 quiz

1. 50 contracts and sell them.

2. $41,250 profit (33 ticks × 50 contracts × $25).

3. This is a 6 × 12 transaction dealing at 4.53 per cent.

4. £25,771.01 settlement, paid on the settlement date by the bank to Client A. This is a discounted amount.Amount before discounting = £26,282.19Discount factor = 0.98055018.

Answers to Chapter 7 quiz

1. Premium is €480,000€50,000,000 × 0.96%, paid up-front.

2. Premium earned is £5,609.59, due up-front.£5,000,000 × 0.45% × 91/365

3. Pay fixed.

4. False. You should add the swap spread.

Answers to Chapter 9 quiz

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