ASSIGNMENT 5: Swaps and Key Rate DV01s

  • Due Sep 25, 2021 at 11:59pm
  • Points 8
  • Questions 8
  • Available after Sep 22, 2021 at 8pm
  • Time Limit None

Instructions

Use the following data to complete the quiz

Swap Data.xlsx

On the tab labeled "Swap Rates" you will find swap rates and tenors that you can use to find swap discounts.  Notice that these swap rates are in percentages, so you can treat them as annual coupons per $1 of face value.

On the tab labeled "Portfolio Cash Flows" are the cash flows of a portfolio that you are long.  You will need to value this portfolio and hedge it.

On the tab labeled "Shifts" are the profiles of the key-rate shifts you will be using.  Notice that these are in basis points so you will have to divide by 10,000 before adding to swap rates.

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