Let's solve your first question about interest rate swap:

Since A has the advantage of issuing bonds at fixed interest rate of 11.65%-11%=1.65% and floating interest rate of 1.45%

, A has a comparative advantage at fixed interest rate and B has a comparative advantage at floating interest rate of 1.65%-1.45% = 1.2% < > then after the swap, the debt issuance cost of A is LIBOR-1.6%, and that of B is 11.65%-1.6%=11.15%

So the final result is that A issues a five-year Eurodollar bond with a fixed interest rate of 11%, and B issues a floating rate bill with an interest rate of LIBOR+1.45%, and then A pays interest on LIBOR to B, and B pays 11 to A.. If the swap is made indirectly through the swap bank, then 1.2% of the swap income will be divided among the three.

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 changing.

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

the theoretical delivery price of the forward contract of this topic is k = s * e (-r * △ t) = 951 * e. The value of the long position of the forward contract is f = S-K * E (-R * △ T) = 951-971 * E (-8% * 1.5) = 18.13 USD, or (988.77-971) * E (-8% * 1.5) = 18.13 USD. The yield is 4.5% (at discount)

According to the pricing model of bonds, that is, all cash flows are discounted, the pure bond value is 861.111 yuan

conversion value =23.53* with BAⅡ+ calculator. 22.71 = US$ 511.431, that is, you can only get US$ 511.431 by converting bonds into stocks immediately

According to the idea of no arbitrage, the difference between the two is US$ 349.68

The fourth is the theoretical price of futures contracts, 311 yuan 311 index per point

3-month futures of Shanghai and Shenzhen 311 index F = 3111 * 311 * E [(. =941697.96 yuan divided by 311 is 3139 points < P > If the market price of the three-month Shanghai and Shenzhen 311 index futures is 3111 points, The value of the futures contract is f = 3111 * 311 * e (-q * △ t)-3111 * 311 * e (-r * △ t), so I'm too lazy to get ready for bed ...

The fourth one is a binary tree

Let the rising probability be p from 51* E 8% = 61p+41 (1-p) If the solution is p=71.82%, the probability of decline is 29.18%

When the second period rises to 61, the exercise option value is 61-51=11; when it falls to 41, the non-exercise option value is 1

, then the parity call option based on this stock is C = E (-8%.