Sheet1
Problem 13-2a-13.2
Use the table below to complete the spreadsheets below
CALL PUT
Exercise Price March April May March April May
(X)
150 20.00 21.50 23.00 3.00 3.50 4.45
155 15.50 16.25 17.75 4.10 4.90 5.90
160 12.50 12.85 13.50 5.30 6.00 6.80
165 8.10 9.00 10.65 7.00 8.00 9.20
170 5.20 6.30 8.50 9.40 10.75 12.45
175 3.25 4.25 5.75 13.00 14.30 14.20
180 2.50 3.40 4.45 15.00 16.10 17.75
INPUT OUTPUT
a Action Date Option Exercise Price Stock
Price Premium
(Pay)/Rec Payoff Profit /Loss BE (Stock) HPR %
Buy March Call 150 175
Buy April Call 165 165
Buy May Put 170 160
Buy March Put 180 162
Sell May Put 165 125
Sell April Put 175 165
Sell May Call 155 180 BE2 (Stock)
Sell April Call 150 165
Sell May Straddle 175 200
Buy March Straddle 180 185
INPUT OUTPUT
b Action Date Option Exercise Price 1 Exercise Price 2 Stock
Price Premium
(Pay)/Rec Total Payoff Total Profit/Loss
Buy March Bull
Call Spread 150 160 170
Buy April Bull
Put
Spread 160 180 162
Buy May Bear
Put
Spread 170 180 150
Buy April Bear
Call Spread 160 170 170
Buy March Butterfly
Call
Spread 150 160 165
Sell May Butterfly
Call
Spread 170 180 200
Sheet1
Problem 13-1
Please Complete the Output section given the information below
INPUT OUTPUT
Action Option Exercise Price Premium Stock Price Payoff Profit /Loss BE Stock
Buy Call 140 9 165
Buy Call 62 5 59
Buy Put 46 5 38
Buy Put 66 9 66
Sell Put 132 11 126
Sell Put 127 9 128
Sell Call 156 6 152
Sell Call 143 8 145 BE Stock 2
Sell Straddle 120 21 135
Buy Straddle 95 13 125
Problem 11-9
Chapter 11 - Probem 11-9
I N P U T Trading Date Monday, May 15, 2017
Settlement Date
(T+3 Business Days) Thursday, May 18, 2017
Market Price 96.50
Coupon Rate 8.250% =PRICE(M4,M5,M6,M7,M8,M9)
Coupon Dates M&S (Mar 31 and Sep 30) =COUPDAYBS(M4,M5,2,1)
Semi-Annual Coupon Payment $41.25
Face Value $1,000 =COUPDAYS(M4,M5,2,1)
Accrued Basis 360 Days =(M12/M13)*M6*100/2
=+M11+M14
OUTPUT Market Price Paid $965.00 $96.50 x 10
Accrued Expenses $11.00 XXXXXXXXXXx (48 / 180) = 11.00
Invoice Price $976.00
Total Days 48
DRAW THE DATES
5/18
$41.25 $41.25
3/31 4/30 5/31 6/30 7/31 8/31 9/30
DAYS = 30 18
T + 3 business Days
XXXXXXXXXX48 Days
Problem 11-10
Chapter 11 - Probem 11-10
I N P U T Trading Date Thursday, July 22, 2010
Settlement Date
(T+3 Business Days) Tuesday, July 27, 2010
Market Price 101.25
Coupon Rate 6.750% =PRICE(M4,M5,M6,M7,M8,M9)
Coupon Dates M&N (May 31 and Nov 30) =COUPDAYBS(M4,M5,2,1)
Semi-Annual Coupon Payment $33.75
Face Value $1,000 =COUPDAYS(M4,M5,2,1)
Accrued Basis 360 Days =(M12/M13)*M6*100/2
=+M11+M14
OUTPUT Market Price Paid $1,012.50 $101.25 x 10
Accrued Expenses $10.69 XXXXXXXXXXx (57 / 180) = 10.68
Invoice Price $1,023.19
Total Days 57
DRAW THE DATES
7/27
$33.75 $33.75
5/31 6/30 7/31 8/31 9/30 10/31 11/30
DAYS = 30 27
T + 3 business Days
XXXXXXXXXX57 Days
Problem 11-14
Chapter 11 - Probem 11-14
CALCULATING THE YTM
Settlement Date (SD) = 2/15/20
Maturity Date (MD) = 6/30/25
Coupon Rate (CR) = 7.500%
Market Price (MP) = 98.750
Redemption value % (R) = 100
Coupon Pmts per year (Frequency (F) = 2
Yield to Maturity (YTM) = 7.79% =YIELD(D6,D7,D8,D9,D10,D11)
= YIELD (SD,MD,CR,MP,R,F)
Problems 11-15
Chapter 11 - Probem 11-14
Face Value 1,000
Coupon Rate 7.75%
Life in Years 4
Yield 8.25%
Frequency 2
Bond Price $983.25 =-PV(E9/E10,E8*E10,E7*E6/E10,E6)
Macaulay Duration 3.51
Modified Duration 3.4% =+E13/(1+E9/E8)/100
Convexity 12.88 1.31% =+E17/E11
Period Cash
Flow PV Cash Flow Weighted Duration Calc Factor years Convexity
Calc
0 ($983.25)
1 38.75 37.21 3.785% 0.03785 2.000 74.43
2 38.75 35.74 3.635% 0.07270 6.000 214.44
3 38.75 34.32 3.491% 0.10473 12.000 411.90
4 38.75 32.96 3.353% 0.13411 20.000 659.30
5 38.75 31.66 3.220% 0.16099 30.000 949.77
6 38.75 30.40 3.092% 0.18554 42.000 1,277.00
7 38.75 29.20 2.970% 0.20788 56.000 1,635.21
8 1,038.75 751.75 76.455% 6.11639 72.000 54,125.69
100.000% 7.02018 =SUM(G21:G30) 59,347.74
DURATION AND CONVEXITY FORMULAS
PRICE 983.25 DURATION 3.51 =+G31/2 CONVEXITY 12.88