题目 To utilize the cash position 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 $15 [...]
题目 The current price of Commodity X in the spot market is $42.47. Forward contracts for delivery of Commodity X in one year are trading at a price of $43.11. If the current continuously [...]
题目 Which statement is TRUE about the shape of the commodities forward curve? 选项 A.In a normal market (aka, contango), the basis is positive B.In an inverted market (aka, backwardation) the [...]
题目 A portfolio manager has a $15 million mid-cap portfolio that has a beta of 1.3 relative to the S&P 400. S&P 500 futures are trading at 1,150 and have a multiplier of 250. The most [...]
题目 The current quoted price of a September 2014 Eurodollar futures contract is 95.940. What is the associated contract price? 选项 A.938,600 B.959,400 C.989,850 D.999,887 答案 C 解析 [...]
题目 A trader runs a cash and future arbitrage book on the S&P 500 index. Which of the following are the major risk factors?I Interest rateII Foreign exchangeIII Equity priceIV Dividend [...]
题目 Long-dated forward contracts on short-term deposits: 选项 A.Imply lower rates than Eurodollar futures contracts for the same maturity. B.Imply higher rates than Eurodollar futures contracts [...]
题目 Estimate the forward rate of a 6-month foreign exchange rate contract. USD LIBOR is 6% and EUR LIBOR is 4%. The current exchange rate is 0.8800 USD per EUR. Assumes continuous compounding. [...]
题目 The current spot price of cotton is USD 0.7409 per pound. The cost of storing and insuring cotton is USD 0.0042 per pound per month payable at the beginning of every month. The risk-free rate [...]
