题目 An investor has entered into a forward rate agreement where she has contracted to pay a fixed rate of 5 percent on $5,000,000 based on the quarterly rate in three months. If interest rates are [...]
题目 Which of the following statements best describes marking-to-market of a futures contract? At the: 选项 A.End of the day, the maintenance margin is increased for traders who lost and [...]
题目 The spot price for a commodity is $19. The annual lease rate for the commodity is 5%. The appropriate continuously compounded annual risk-free rate is 6.5%. Which of the following amounts is [...]
题目 The hedge ratio is the ratio of the size of the position taken in the futures contract to the size of the exposure. Assuming the standard deviation of change of spot price is S1, and the [...]
题目 The current value of the S&P 500 index is 1457, and each S&P futures contract is for delivery of 250 times the index. A long-only equity portfolio with market value of USD 300,100,000 [...]
题目 A Eurodollar futures price changes from 98.00 to 97.20. What is the gain/loss to an investor who is long one contract? 选项 A.LIBOR decreased by 80 basis point for a loss (to the long [...]
题目 A trader executes a $200 million 5-year pay fixed swap with one client (duration 4.36) and a $100 million 10-year receive fixed swap with another client (duration 7.66) shortly afterwards. [...]
题目 Which of the following statements are true with respect to basis risk? I Basis risk arises in cross-hedging strategies but there is no basis risk when the underlying asset and hedge asset are [...]
题目 A buffalo farmer is concerned that the price he can get for his buffalo herd will be less than he has forecasted. To protect himself from price declines in the herd, the farmer has decided to [...]
题目 If all spot interest rates are increased by one basis point, a value of a portfolio of swaps will increase by $1100. How many Eurodollar futures contracts are needed to hedge the portfolio? [...]
