課程名稱︰國際財務管理 課程性質︰選修 課程教師︰何憲章 開課學院：管理學院 開課系所︰財金系 考試日期（年月日）︰2012/06/19 考試時限（分鐘）：180 是否需發放獎勵金：是 （如未明確表示，則不予發放） 試題 : Note:Answer to the 4th decimal point and list your calculation procedures. 1.If the US Treasury Department used Uniform Price Dutch Auction method for its 5 year semi-annual coupon T-note new issue, it raised $6 billion to fill $1 billion Non-competitive bids and $5 billion Competitive bids, the three successful Competitive bidders were $2 billion at 1.8%, $2 billion at 1.9%, and $1 billion at 2.0% bid yields. (1) What was the coupon rate? (2) What price did the Competitive and the Non-competitive bidders pay for $100 face value? Use the Wall Street Journal handouts Settlement Price data to answer Question2 2.(1)With one June 2012 Eurodollar(CME) Futures contract and one Dec 2012 Eurodollar Futures contract, suppose you expect the future spread of these two contracts to widen to 20bp ( 1 basis point = 0.01%), what's your intra-commodity spread investment strategy and what'll be your net profit in dollars? (2)With one May 2012 Corn(CBT) Futures contract and one May 2012 Soybeans (CBT) Futures contract, suppose you expect the future spread of these two contracts to narrow to 350 cents per bushel, what's your inter- commodity spread investment strategy and what'll be your net profit in dollars? 3.For a Two year LIBOR Swaps(USD) contract, if A will pay B fixed annual interest rate of 0.560% and B will pay A annual fixed margin of 0.0649% plus Three month LIBOR rate which is renewed semi-annually. With notional principal of US$1,000,000 and net payment method simply on the differential annual interest rates, if the future Three month LIBOR annual interest rates are 0.48%, 0.50%, 0.51%, and 0.49% for the next 4 semi-annual periods respectively, draw a diagram to show the net payments between A and B for the 4 future periods. 4.For a Sep. 2012 expiration(T= 110/365), strike price US$1.2500/€, Euro Currency option, the annual standard deviation os 0.18, the US risk free interest rate is 0.12%, and the Euro risk free interest rate is 0.25%. If the underlying spot Euro price is now US$1.2595/€, use the modified Garman -Kohlhagen Black-Scholes formula to calculate the theoretical value of (1)call option, and (2) put option --

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