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题目 On Nov 1, Jimmy Walton, a fund manager of an USD 60 million US medium-to-large cap equity portfolio, considers locking up the profit from the recent rally. The S&P 500 index and its [...]

题目 If the volatility of the short-term interest rate (LIBOR) is 4.0%, what is the convexity adjustment for a five-year Eurodollar futures contract? 选项 A.0.75% B.1.1% C.2.1% D.4.2% 答案 C [...]

题目 The settlement price of a U.S. Treasury bond futures contract is $98.50 (98-16). The two bonds eligible for delivery are: Bond A: Quoted Price of $97.00 and conversion factor (CF) of 0.96; [...]

题目 If the volatility of the short interest rate (LIBOR) is 4.0%, what is the convexity adjustment for a five-year Eurodollar futures contract? 选项 A.0.75% B.1.1% C.2.1% D.4.2% 答案 C 解析 [...]

题目 Which of the following commodities is most likely to imply a forward curve in backwardation? 选项 A.low risk-free rate, low lease rate, low storage cost, low convenience yield B.high [...]

题目 What features of cash and futures prices tend to make hedging possible? 选项 A.They always move together in the same direction and by the same amount. B.They move in opposite directions by [...]

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 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 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 [...]