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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 Given the following:● Current spot rate: 1.3680 (1.3680CHF = 1USD)● 3-month USD interest rates: 1.05%● 3-month Swiss interest rates: 0.35%(Assume continuous compounding)A currency trader [...]

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 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 [...]

题目 From the point of view of a company that uses derivatives to hedge foreign exchange risk, the main advantage of futures contracts over forward contracts is that: 选项 A.Futures are typically [...]

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 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 [...]