题目 ABC, Inc., entered a forward rate agreement (FRA) to receive a rate of 3.75% with continuous compounding on a principal of USD 1 million between the end of year 1 and the end of year 2. The [...]
题目 A bank has a USD 4 million portfolio available for investing. The cost of funds for the $4 million is 5.5%. The bank lends 50% of the assets to domestic customers for an average loan rate of [...]
题目 Consider an FRA (forward rate agreement) with the same maturity and compounding frequency as a Eurodollar futures contract. The FRA has a LIBOR underlying. Which of the following statements [...]
题目 A bronze producer will sell 1,000 mt (metric tons) of bronze in three months at the prevailing market price at that time. The standard deviation of the change in the price of bronze over a [...]
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 [...]
