题目 Using the continuous time forward pricing model, what is the no-arbitrage price of a 3-month forward contract if the interest rate is 3.2 percent and the spot price of the asset is $750? [...]
题目 If a commodity is more expensive for immediate delivery than for future delivery, the commodity curve is said to be in: 选项 A.contango B.backwardation C.reversal D.none of the above 答案 [...]
题目 A stock index is valued at USD 800 and pays a continuous dividend at the rate of 3% per year. The 6-month futures contract on that index is trading at USD 758. The continuously compounded risk [...]
题目 Gamma Industries, Inc. issues an inverse floater with a face value of USD 50,000,000 that pays a semiannual coupon of 11.50% minus LIBOR. Gamma Industries intends to execute an arbitrage [...]
题目 A company wants to borrow $10 million for 90 days starting in one year. To hedge the interest rate risk of the future borrowing, the company enters into a forward rate agreement (FRA) where [...]
题目 What is the purpose of margin payments associated with futures contracts? 选项 A.To reduce the maintenance cost for participants. B.To reduce the credit risk for participants. C.To reduce [...]
题目 Assume that interest rates are 1.0% per annum with annual compounding in the United States and 9.0% in Brazil. A bank can borrow (by issuing CDs) or lend (by purchasing CDs) at these rates. [...]
题目 A German housing corporation needs to hedge against rising interest rates. It has chosen to use futures on 10-year German government bonds. Which position in the futures should the corporation [...]
题目 When is the contract rate of the FRA fixed? 选项 A.On the trade date B.On the value date C.On the rate-fixing date D.On the settlement date 答案 A 解析 The contract rate of the FRA is [...]
题目 It is currently August 2010, and the spot price of soybeans is $5.05/bushel. Storage costs for soybeans on a continuously compounded basis are $0.45/bushel annually. The appropriate [...]
