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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 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 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 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 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 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 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 [...]