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题目 To equalize the cash portion of assets under management, a portfolio manager enters into a long futures position on the S&P 500 Index with a multiplier of 250. The cash position is [...]

题目 A natural gas producer wants to hedge the risk of a decline in the price of natural gas over the next three months. The trader representing the producer wants a short position in the 3-month [...]

题目 A forward rate agreement (FRA): 选项 A.can be used to hedge the interest rate exposure of a floating-rate loan. B.is risk-free when based on the Treasury bill rate. C.is settled by making a [...]

题目 The four-year Eurodollar futures quote is 97.00. The volatility of the short-term interest rate (LIBOR) is 1.0%, expressed with continuous compounding. What is the equivalent forward rate, [...]

题目 Assume that the current spot exchange rate is 0.8950 USD per 1 EUR. An American bank pays 3.5 percent annual interest rate for a dollar deposit and a European bank pays 2.75 percent annual [...]

题目 Interest rates (bond yields) are currently below 6.0%. Which of the following bonds will the short position in U.S. Treasury bond futures contract be most likely to deliver; i.e., which will [...]

题目 Using the continuous time forward pricing model, what is the no-arbitrage price of a 3-month forward contract if the interest rate is 3.2 percent and the spot price of the asset is $750? [...]

题目 If a commodity is more expensive for immediate delivery than for future delivery, the commodity curve is said to be in: 选项 A.contango B.backwardation C.reversal D.none of the above 答案 [...]

题目 A stock index is valued at USD 800 and pays a continuous dividend at the rate of 3% per year. The 6-month futures contract on that index is trading at USD 758. The continuously compounded risk [...]

题目 Gamma Industries, Inc. issues an inverse floater with a face value of USD 50,000,000 that pays a semiannual coupon of 11.50% minus LIBOR. Gamma Industries intends to execute an arbitrage [...]