代写Assignment 2 : Financial Computing调试R语言程序

日期：2025-10-30 04:59

Assignment 2 : Financial Computing

** Please note that no mark will be given if the answer does not follow the question requirements.

Question 1 - Requirements (80%)

The objective of this question is to test your understanding of

● financial modeling of yield curve construction process from different rate sources

● to derive the discount factors of individual tenors from available financial instrument market rate, bootstrapping process and zero coupon yields computation

You are provided with the liquid market instruments of HKD market: Cash Rates, FRA Rates and Swap Rates in below table.

Instrument	Tenor	Mid Rate
CASH	1Wk	2.500%
CASH	1M	2.900%
CASH	2M	3.000%
CASH	3M	3.100%
FRA	1x4	3.000%
FRA	2x5	2.900%
FRA	3x6	2.700%
FRA	6x9	2.600%
SWAP	1Y	2.500%
SWAP	2Y	2.200%
SWAP	3Y	2.100%
SWAP	4Y	2.300%

Please Use Excel spreadsheet to build the HKD yield curve financial model based on the methodology introduced in the lecture. The model assumptions are listed out below.

● Base date is 1 Sep 2025

● Day to Spot is 2

● Day/Year convention is ACT / 365

● Linear interpolation

● Holiday effect is ignored

● Zero coupon rate is assumed to be compounded on yearly basis

The basic Excel Operators (e.g. + - * / ^ etc) can be used. No Excel macro or programming is allowed in the spreadsheet model. No Excel function is allowed except SUM(), EDATE() and vlookup(). No rounding to figures outcome. Format of data presentation, all discount factors display to 6 decimal points, zero coupon rates display to 3 decimal points in terms of percentage.

You are required to show clearly the following sections in your Excel financial model:

1) The rate source table (3.5%)

2) The Cash rate discount factor for tenors per Appendix 1 (14%)

3) The The FRA discount factor for tenors per Appendix 1 (14%)

4) The Swap discount factor for tenors per Appendix 1 (31.5%)

5) The discount factor and zero coupon rate per Appendix 2 (7%)

6) Appropriate use of vlookup function for bootstrapping of FRA and IRS discount factors (10%)

APPENDIX 1 - Tenor of respective Financial Instrument

Cash Rate		FRA		Swap
From	To	From	To	From	To	From	To
03-09-25	03-09-25	03-10-25	03-01-26	03-09-25	03-12-25	03-09-27	03-12-27
03-09-25	10-09-25	03-11-25	03-02-26	03-12-25	03-03-26	03-12-27	03-03-28
03-09-25	03-10-25	03-12-25	03-03-26	03-03-26	03-06-26	03-03-28	03-06-28
03-09-25	03-11-25	03-03-26	03-06-26	03-06-26	03-09-26	03-06-28	03-09-28
03-09-25	03-12-25			03-09-26	03-12-26	03-09-28	03-12-28
				03-12-26	03-03-27	03-12-28	03-03-29
				03-03-27	03-06-27	03-03-29	03-06-29
				03-06-27	03-09-27	03-06-29	03-09-29

APPENDIX 2 - Yield Curve result per below date

Date	Date
03-09-25	03-09-26
10-09-25	03-12-26
03-10-25	03-03-27
03-11-25	03-06-27
03-12-25	03-09-27
03-01-26	03-12-27
03-02-26	03-03-28
03-03-26	03-06-28
03-06-26	03-09-28
	03-12-28
	03-03-29
	03-06-29
	03-09-29

Question 2 - Requirements (20%)

The objective of this question is to test your understanding of interest rate swap (IRS) pricing model.

You are provided with a HKD IRS with the following terms:

Swap of Receive fixed, Pay floating

Notional amount = HKD 1 million

Trade date of swap = 1 Sep 2025

Day to Spot = 2

Maturity date of swap = 3 Sep 2028

Fixed leg payment frequency = HKD, quarterly, ACT/365

Floating leg rate and payment frequency = HKD, 3 month HIBOR, quarterly, 30/365

Based on the HKD yield curve result from Question 1, please compute the IRS rate (i.e. the fixed leg rate) as of 1 Sep 2025.

You are required to provide only the IRS pricing financial model using Excel based on the methodology introduced in the lecture.

The financial model is based on the assumptions of linear interpolation, holiday effect is ignored. No rounding to figures outcome. Format of data presentation, all figures display to 6 decimal points, interest rate display to 3 decimal points in terms of percentage.