Which of the following is a good definition of the duration of a bond?

Consider an interest rate swap that expires in 360 days with payments every 90 days, in which the underlying is 90-day SOFR.  Given any one of the settlement days, when is the corresponding payment made.

Which of the following statements about the binomial option pricing model is always correct?

Consider a two-period binomial model in which the asset price at time 0 is $60.  It can go up by 15% or down by 10%.  The risk-free rate is 3%.  Find the price of a two-period European call with an exercise price of $55.

The concept of credit risk refers to the risk that a party that owes money will not pay.  Which of the following additional statements does it encompass?

What do we mean by capital allocation?

An investor who is delta-hedging is long 1,000 units of the asset priced at $50 and short 2,000 calls priced at $8 on the asset, based on the delta.  Suppose the asset moves up $1 and the option moves up by 0.48, determine the gain or loss on the portfolio?

A party has a probability of default of 5% in a given year.  What is the accumulated probability of default over a five-year period?

Consider a borrower whose underlying floating loan rate is L.  He purchases a collar with a cap strike of Xc and a floor strike of Xp.  Which of the following is the total payoff determined on a settlement date (meaning interest paid net of any option payoff) if L  > Xc where L is the observed loan rate on that settlement date?  Assume $1 borrowed and ignore the date count adjustment.

If you had a currency swap to pay domestic fixed and receive foreign floating and wanted to convert it to an interest rate swap to pay domestic fixed and receive domestic floating, which of the following currency swaps should you add?