FOR SEMESTER 1 2025
FEND TUTORIALS
, QUESTION 1 ANSWER
Question 01 (subtotal = 20) Use the information below to answer the questions. A six-year annual bond with a par value of R100 has an 8.5% yield to maturity and a coupon rate of 6%. If there is a 100 basis points change in the interest rate, 1. Calculate the effective duration and the effective convexity. Clearly show the changes of present value in a tabular form. (20) Question 2 (subtotal = 14) 1. Discuss any five (5) terminologies that are used for workings and applications of options. (10) 2. Differentiate between interest rate swap and currency swap. (4)
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