题目 Three months ago a company entered in a one-year forward contract to buy 100 ounces of gold. At the time, the one-year forward price was USD 1,000 per ounce. The nine-month forward price of [...]
题目 A portfolio manager manages a $10 million portfolio that has a beta of 1.0 relative to the S&P 500. The S&P 500 futures are trading at 1,100 and the multiplier is 250. He would like to [...]
题目 The spot price of silver is $20.00 per ounce. The storage cost is $3.00 per ounce per year payable quarterly in arrears. The risk-free interest rate is flat at 3.0% per annum with continuous [...]
题目 The term contango is used to describe a market in which: 选项 A.Forward prices are above spot prices. B.Forward prices are below spot prices. C.Spot prices and forward prices are at the same [...]
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 [...]
