At the beginning of a reset period, the variable reference rate set in advanced and paid in arrears for a plain vanilla fixed-for-floating swap was set at 1.5%. The notional principal is $1,000,000. Assuming the period had 90 days in a 360 day year, the interest payment on the floating leg is:

At expiration of a futures contract, the price of the CTD bond is 112.00 and its conversion factor is 0.85. What is the futures price? Assume that there are no transaction costs, so that arbitrage arguments hold perfectly.

The magnitude of conversion factors for deliverable bonds in a 10-Year Treasury Note Futures contract is affected by:

Compared to a floater, an inverse floater

Assume the US Treasury is auctioning $1200 of bonds and receives the following bids: Bank A: $800 at 5.00% Bank B: $1100 at 4.75% Bank C: $900 at 4.50% Noncompetitive: $200 at 4% Which yield clears the auction?

Using the weighted cash-flow approach to computing duration (Macaulay Duration), Which of the following is the closest to the duration of a 3-year bond with semiannual coupon payments of 5.5% and a yield to maturity of 6%.

Which of the following is not a theory of the term structure of the yield curve?

Which of the answers below make the following statement true: As a given spot rate _______, the discount factor _______, and the corresponding discounted case flow __________.

Assume today is February 13, 2025. The 4.25% November 15, 2034 note with yield to maturity 4.680% sells for a price of 96.631 per 100 par. What is the accrued interest of this note as of today per 100 par?

Consider a Treasury Bill that matures in 6 months – exactly one-half of a year. The price of this bill is 97.8. What is the semi-annually compounded yield on this security?