Structured Products
Spring 2005
Assignment 8
Do problem 1, if the last two digits of your Student ID number is less than 30.
Do problem 2, if the last two digits of your ID number is greater than 29
Do problem 3.
(Be prepared to discuss your answers in class)
1. For Product 10（水漲船高），prepare your presentation for
(1) Product explanation
(2) Valuation procedure
(3) Product theoretical value given the inputs of your choice
(initial stock prices,volatitlies, etc.)
(4) Any other issues you would like to discuss
2. For Product 11 (大華鎖利)，prepare your presentation for
(1) Product explanation
(2) Valuation procedure
(3) Product theoretical value given the inputs of your choice
(initial stock prices,volatitlies, etc.)
(4) Any other issues you would like to discuss
3. A bond of A-year maturity, face value of $B, paying annual coupon and
the coupon rate is C %, if the market price of this bond is equal to $D,
Write a program and calculate the yield-to-maturity Y of this bond.
i.e., Given, A, B,C and D, your program should produce answer Y.
(Hint)
1. Write a program to calculate bond price given yield to maturity
2. Write a yield-to-maturity program using Bi-section method, along
with the bond price program.
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