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A company invests $1,000 in a five-year zero-coupon bond and $4,000 in a ten-year zero-coupon bond. What is the duration of the portfolio? ( )

A. 6 years
B. 7 years
C. 8 years
D. 9 years

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A portfolio is worth $24,000,000. The futures price for a Treasury note futures contract is 110 and each contract is for the delivery of bonds with a face value of $100,000. On the delivery date the duration of the bond that is expected to be cheapest to deliver is 6 years and the duration of the portfolio will be 5.5 years. How many contracts are necessary for hedging the portfolio? ( )

A. 100
B. 200
C. 300
D. 400

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Which of the following describes an interest rate swap? ( )

A. The exchange of a fixed rate bond for a floating rate bond
B. A portfolio of forward rate agreements
C. An agreement to exchange interest at a fixed rate for interest at a floating rate
D. All of the above

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Which of the following is true for an interest rate swap? ( )

A swap is usually worth close to zero when it is first negotiated
B. Each forward rate agreement underlying a swap is worth close to zero when the swap is first entered into
Comparative advantage is a valid reason for entering into the swap
D. None of the above

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On a certain day the highest temperature is 77 degrees and the lowest temperature is 61 degrees. What is the day’s CDD? ( )

A. 5
B. 12
C. 4
D. 0

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A company invests $1,000 in a five-year zero-coupon bond and $4,000 in a ten-year zero-coupon bond. What is the duration of the portfolio? ( )

A. 6 years B. 7 years C. 8 years D. 9 years

Which of the following describes an interest rate swap? ( )

Which of the following is true for an interest rate swap? ( )

On a certain day the highest temperature is 77 degrees and the lowest temperature is 61 degrees. What is the day’s CDD? ( )

A. 6 years
B. 7 years
C. 8 years
D. 9 years