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题目 ABC, Inc., entered a forward rate agreement (FRA) to receive a rate of 3.75% with continuous compounding on a principal of USD 1 million between the end of year 1 and the end of year 2. The [...]

题目 A bronze producer will sell 1,000 mt (metric tons) of bronze in three months at the prevailing market price at that time. The standard deviation of the change in the price of bronze over a [...]

题目 To equalize the cash portion 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 [...]

题目 A natural gas producer wants to hedge the risk of a decline in the price of natural gas over the next three months. The trader representing the producer wants a short position in the 3-month [...]

题目 Using the continuous time forward pricing model, what is the no-arbitrage price of a 3-month forward contract if the interest rate is 3.2 percent and the spot price of the asset is $750? [...]

题目 It is currently August 2010, and the spot price of soybeans is $5.05/bushel. Storage costs for soybeans on a continuously compounded basis are $0.45/bushel annually. The appropriate [...]

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 Consider a seasonal agricultural market like wheat. Assume the harvest is normal and not unusually or unusually small. Now consider the following statement about the market. I Prices fall at [...]

题目 Assume the spot price of wheat is $7.00 per bushel with a storage cost of 12.0% per annum while the riskless rate is 4.0%, both compounded continuously. What is the implied six-month futures [...]

题目 What are the differences between Forward Rate Agreements (FRAs) and Eurodollar Futures? I FRAs are traded on an exchange while Eurodollar Futures are not. II FRAs have better liquidity than [...]