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Financial Services and Information Technology Lab
3.2. Using Bloomberg, derive the clean bond price, dirty price and accrued
interest and attach screenshots of the cash flows and price calculation?
Answer:
Clean price:
Dirty price:
Accrued Interest:
Problem 4: Using Bloomberg, find the bond of Centex Corp. which matured on
May 1, 2016 and answer the following questions (20p)
4.1. What was the ticker?
Answer:
4.2.What was the CUSIP Number ?
Answer:
4.3.What was the Issue Price?
Answer:

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Financial Services and Information Technology Lab
4.4.What type of bond was it?
Answer:
4.5. What Bloomberg function do we use to find out if investors were protected
in case of a LBO or event of default? Were there any negative or positive
pledges? How about any restrictive covenants? Can you please describe what
these covenants mean?
Answer:

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Financial Services and Information Technology Lab
Problem 5. Using Bloomberg, calculate and explain Macaulay Duration,
Modified Duration, Bloomberg Risk, Convexity and DV 01 for 1,000,000 Euro
of the DBR 2 1/2 08/15/46 on settlement date: February 27, 2023 given an
yield of 2.60%. (20p)
5.1. Macaulay Duration
Answer:
5.2. Modified Duration
Answer:
5.3. Benchmark Risk
Answer:
5.4. Convexity
Answer:

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Financial Services and Information Technology Lab
5.5. How much money you can make/lose per 1bpv on your 1,000,000 Euro
position on settlement date:?
Answer:
Problem 6. Use the RRRA and other relevant functions in Bloomberg to
answer the following questions assuming that you would use the US
government bond listed below as collateral (20p)
BOND INFORMATION
CUSIP 912810QZ4
ISIN US912810QZ49
MATURITY 02/15/43
FACE AMOUNT 10 MILLION
COUPON RATE 3 1/8
REPO INFORMATION
TRADE DATE FEB 23, 2023 11:00AM
SETTLEMENT DATE FEB 24, 2023
TERMINATION DATE MARCH 3, 2023
REPO TYPE FIXED RATE
REPO RATE 4.5600%
DAY COUNT TYPE ACT/360
COLLATERAL
PERCENTAGE
103.0000%
6.1. Describe how you can find US Treasury bond’s historical price chart for
the above mentioned Treasury bond. Attach a screenshot of all historical prices
starting on 11/01/2022 through the present.
Answer:

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Financial Services and Information Technology Lab
6.2. What were the (quoted) bond prices on trade date and settlement date?
Which one would you use to calculate the REPO and why?
Answer:
6.3. What is the accrued interest in dollar amount on settlement date?
Answer:
6.4. What is the duration of the REPO?
Answer:
6.5. How much money would the REPO buyer expect to receive on settlement
date?
Answer:
6.6. How much interest would the REPO seller expect to receive on
termination the date?
Answer:

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Financial Services and Information Technology Lab
Problem 7– (20 p)
On the day you get to the Bloomberg terminal, use the SWPM function and
start analyzing the fixed–float SWAP given the following: Notional = 100 Million,
Currency: USD, Tenor: 5 years, Leg 1: Pay fixed, Pay Frequency: Semi–Annual,
Leg 2: Receive Float, Reset Frequency : Quarterly, Pay Frequency: Quarterly, use
the interest rates posted on that day.
Attach all the screenshots and answer the following questions:
7.1. What is the swap rate?
Answer:
7.2. What is the market Value of the SWAP on the date you create the SWAP?
Answer:
7.3. Attach a screenshot of the Cash Flows for the Leg: Receive Float
Answer:
7.4. What is the DV01 for the fixed payer? What does it mean?
Answer:
7.5. If the interest rates go up by 1 basis point what is the impact on the swap
market value?
Answer