Q

Part 1
21
22
23
24

M
/50
/12.5
/12.5
/12.5
/12.5

Total

BUS325 DERIVATIVE SECURITIES

ADVICE
IN-TERM TEST
SEPTEMBER TRIMESTER 2013
TIME ALLOWED:

90 MINUTES

AIDS ALLOWED:

FINANCIAL CALCULATOR

This paper has two parts. Part A contains 20 multiple choice questions worth a total
of 50 marks, and Part B contains 4 questions worth 12.5 marks each.
Answer Part A on the answer sheet, and Part B on the question paper in the space
provided. Show all calculations for Part B.

Part A Answer these questions on the answer sheet.

1 -20 Multiple choice. Mostly qualitative with minor calculations.

[50 marks]

Part B Answer these questions on the question paper in the space provided.
21.

Calculation interest rates and bond pricing

[12.5 marks]

22.

Calculation futures hedge

[12.5 marks]

23.

Calculation valuation of futures position

[12.5 marks]

24.

Calculation equilibrium futures prices

[12.5 marks]

______________________________________________
END OF PAPER

Formulae you may require:

F0 = S 0 e ( r q )T

F0 = S 0 e ( c y )T

F2 = F1e

( r q )(T2 T1 )

f = ( K F0 )e rT

F0 = S 0 e ( rh rf ) T
RC = m ln(1 +

Rm
)
m

P = C1 .e r1 .t1 + C 2 .e r2 .t2 + C3 .e r3 .t3 + ... + (C n + FV ).e rn .tn

Rt ,t +n =

Rt +n .Tt + n Rt .Tt
Tt + n Tt

Cash Price = 100

h=

N=

n
Discount Rate
360

S
=
F

V S DS
VF DF

N =

VS
VF

n
c e yti
D = ti i
B
i =1

B
= D y
B
________________________________