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题目 The current value of the S&P 500 index is 1457, and each S&P futures contract is for delivery of 250 times the index. A long-only equity portfolio with market value of USD 300,100,000 [...]

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 [...]

题目 A trader executes a $200 million 5-year pay fixed swap with one client (duration 4.36) and a $100 million 10-year receive fixed swap with another client (duration 7.66) shortly afterwards. [...]

题目 Which of the following statements are true with respect to basis risk? I Basis risk arises in cross-hedging strategies but there is no basis risk when the underlying asset and hedge asset are [...]

题目 A buffalo farmer is concerned that the price he can get for his buffalo herd will be less than he has forecasted. To protect himself from price declines in the herd, the farmer has decided to [...]

题目 If all spot interest rates are increased by one basis point, a value of a portfolio of swaps will increase by $1100. How many Eurodollar futures contracts are needed to hedge the portfolio? [...]

题目 On January 1, a risk manager observes that the one-year continuously compounded interest rate is 5% and storage costs of a commodity product A is USD 0.05 per quarter (payable at each quarter [...]

题目 Jack has company A’s stock and will sell it two months from now at a specified date in the middle of the month. Jack would like to hedge the price of risk of company A’s stock. How could [...]

题目 Hanwha Investment is underwriting a 30-year zero coupon corporate bond issue with a face value of $50 million and a current market value of $2,676,776 (a yield of 5% per 6-month period)，The [...]

题目 A company plans to borrow $3.0 million for three months starting in one year. The Eurodollar futures contract that matures in one year has a quoted price of 98.00 and the company wants to [...]