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题目 Which of the following is TRUE about a forward rate agreement (FRA)? 选项 A.It is an exchange-traded instrument B.It can be cash or physically settled C.A borrower who intends to borrow cash [...]

题目 Assume the spot rate for USD per EUR is 1.05 (i.e., 1 Euro buys 1.05 dollars). A US bank pays 5.5% compounded annually for one year for a dollar deposit and a German bank pays 2.5% compounded [...]

题目 Assume a dollar asset provides no income for the holder and an investor can borrow money at risk-free interest rate r, then the forward price F at time T and spot price S at time t of the [...]

题目 On Nov 1, Jimmy Walton, a fund manager of an USD 60 million US medium-to-large cap equity portfolio, considers locking up the profit from the recent rally. The S&P 500 index and its [...]

题目 Which of the following types of orders may never be executed? 选项 A.Limit orders B.Market-if-touched (MIT) orders C.Stop-limit orders D.All of the above 答案 D 解析 All of these orders [...]

题目 What assumptions does a duration-based hedging scheme make about the way in which interest rates move? 选项 A.All interest rates change by the same amount. B.A small parallel shift in the [...]

题目 Consider an eight-month forward contract on a stock with a price of $98/share. The delivery date is eight months hence. The firm is expected to pay a $1.80/share dividend in four months time. [...]

题目 If the volatility of the short-term interest rate (LIBOR) is 4.0%, what is the convexity adjustment for a five-year Eurodollar futures contract? 选项 A.0.75% B.1.1% C.2.1% D.4.2% 答案 C [...]

题目 A firm is going to buy 10,000 barrels of West Texas Intermediate Crude Oil. It plans to hedge the purchase using the Brent Crude Oil futures contracts. The correlation between the spot and [...]

题目 If the gold lease rate is higher than the risk-free rate, what is the market structure of the forward market for gold? 选项 A.Backwardation B.Contango C.Inversion D.Need more information to [...]