Suppose that you observe the following swap rates for annually settled swaps: the 1-year swap rate is 2%, the 2-year swap rate is 3% and the 3-year swap rate is 4%. You also observe the following overnight index swap (OIS) rates: the 1-year OIS rate is 1.5%, the 2-year OIS rate is 2.5%, and the 3-year OIS rate is 3.5%. Under OIS discounting, and ignoring the impact of any differences in day-count conventions, what is the mark-to-market value (per 100 notional) of a 2-year annually settled swap in which you pay fixed at 4%?

Which of the following is/are reasons why, other things remaining equal, options are more valuable when the underlying asset is more volatile?1.  Expected delta hedging costs will be higher 2.  The expected payoff to the option holder will be larger 3.  The option is more likely to expire in the money

Suppose that you want to construct a 3-year/5-year steepening trade on the credit curve of a particular reference entity. The spread DV01 on $10 million notional of the 5-year CDS is $4500, and the spread DV01 on $10 million notional of the 3-year CDS is $3000. If you trade $10 million notional of the 5-year CDS, what notional amount of 3-year protection should you buy or sell (to the nearest $1000)?

Would a CDO tranche with attachment point 12% and detachment point 16% have more credit risk or less credit risk than a tranche with attachment point 12% and detachment point 14%, assuming that both are based on the same collateral pool?

Why must we make a convexity adjustment if a swap is priced off a futures strip?

For centrally cleared derivatives, initial margin is:

Which of the following central bank actions would be likely to decrease the supply of high-powered money?

Suppose that you buy €20 million notional of 5-year protection on a credit that suffers a credit event during the term of the agreement. A credit event auction is held, resulting in a final price for the reference obligation in the CDS of 35. What credit event payment will you make or receive?

Suppose that you buy €1 million face value of 3-month (90 day) commercial paper at a quoted yield of 0.30%. What settlement amount will you pay?

Which of the following best defines the repurchase price of a repo?