题目
A Eurodollar futures price changes from 98.00 to 97.20. What is the gain/loss to an investor who is long one contract?
选项
A.LIBOR decreased by 80 basis point for a loss (to the long position) of $2,000.
B.LIBOR increased by 80 basis point for a loss (to the long position) of $2,000.
C.LIBOR decreased by 80 basis point for a gain (to the long position) of $2,000.
D.LIBOR increased by 80 basis point for a gain (to the long position) of $2,000.
答案
B
解析
LIBOR increased from 2.0% (100-98) to 2.8% (100-97.2). The long position loses here as the contract price decrease from 98.00 to 97.20; The loss to the long is $25 per basis point; in this case,- 80 bps×25=loss of $2,000.LIBOR从2.0%(100 - 98)升至2.8%(100 - 97.2)。随着合约价格从98.00跌至97.20，多头发生损失；欧洲美元期货每基点25美元；在这种情况下，- 80×25=损失2000美元。