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 [...]
题目 The settlement price of a U.S. Treasury bond futures contract is $98.50 (98-16). The two bonds eligible for delivery are: Bond A: Quoted Price of $97.00 and conversion factor (CF) of 0.96; [...]
题目 If the volatility of the short 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 解析 [...]
题目 When an investor is obligated to buy the underlying asset in a futures position, which of the following is the position of the investor? 选项 A.basis trade B.long-futures position [...]
题目 Which of the following commodities is most likely to imply a forward curve in backwardation? 选项 A.low risk-free rate, low lease rate, low storage cost, low convenience yield B.high [...]
题目 The S&P 500 index is trading at 1,025. The S&P 500 pays an expected continuously dividend yield of 1.2% and the current continuously compounded risk-free rate is 2.75%. The price of a [...]
题目 What features of cash and futures prices tend to make hedging possible? 选项 A.They always move together in the same direction and by the same amount. B.They move in opposite directions by [...]
