Since A issues bonds at a fixed interest rate of11.65%-10% =1.65%, the advantage is that the floating interest rate is 0.45%.

Therefore, A has an advantage in fixed interest rate and B has an advantage in floating interest rate. The difference is 1.65%-0.45%= 1.2%.

Assuming that A and B are directly exchanged, the income from the exchange will be shared equally, and each will get 0.6%.

Then after the swap, the debt issuance cost of A is LIBOR-0.6%, and that of B is11.65%-0.6% =11.05%.

So the final result is that A issues 5-year Eurodollar bonds with a fixed interest rate of 10%, and B issues floating rate bills with an interest rate of LIBOR+0.45%, and then A pays LIBOR interest to B, and B pays a fixed interest rate of 10.6% to A. If the exchange is conducted indirectly through an exchange bank, then1.

For the second forward contract, you must first understand several concepts: the forward price f at any period is the delivery price that makes the contract value zero. The delivery price K is constant, while the forward contract value F and the forward price F are variable.

F=S (the price of the underlying securities) -k * e (-r * △ t) = (f-k) * e (-r * △ t)

The theoretical delivery price of this forward contract is K = S * E (-R *△ T) = 950 * E (8% * 0.5) = 988.77 USD.

If the delivery price of the forward contract is 970 USD, then the long value of the forward contract f = S-K * E (-R *△ T) = 950-970 * E (-8% * 0.5) =18.03 USD can also be asked (988.77-970) *.

The third is to issue convertible bonds, which is equivalent to ordinary bonds plus a call option on the underlying bonds.

The bond term1* * is (15 *12+1) * 2 = 362 semi-annual face value 1000 USD, and the semi-annual interest rate is 3.875%.

According to the pricing model of bonds, that is, discounting all cash flows, the pure bond value is 861.11yuan with Ba Ⅱ+calculator.

The conversion value = 23.53 * 22.70 = 51.431USD, that is to say, you can only get 5 1 1.4365438 USD by converting bonds into stocks immediately.

According to the idea of no arbitrage, the value of call option is that the difference between them is $349.68.

Fourth, futures contracts, Shanghai and Shenzhen 300 Index, 300 yuan per point.

The theoretical price of three-month Shanghai and Shenzhen 300 index futures f = 3100 * 300 * e [(r-q) * △ t)] = 941697.96 yuan divided by 300 is 3 139 points.

If the market price of the three-month Shanghai and Shenzhen 300 index futures is 3000 points and the value of the futures contract is f = 3000 * 300 * e (-q * △ t)-3100 * 300 * e (-r * △ t), I will be too lazy to get ready for bed. ...

The fourth is a binary tree.

Suppose that the rising probability from 50 * e 8% = 60p+40 (1-p) is p=70.82%, and the falling probability is 29. 18%.

When the second period rises to 60, the option value of exercise option is 60-50= 10, and when it falls to 40, the option value of non-exercise option is 0.

Then the parity call option based on this stock C = E (-8%) (70.82% *10+29.18% * 0) = 6.54 yuan.

go to bed ...