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题目 Alan bought a futures contract on a commodity on the New York Commodity Exchange on June 1. The futures price was USD 500 per unit and the contract size was 100 units per contract. Alan set up [...]

题目 The spot price of gold is $1,822 and the six-month forward price is $1,830; S(0) = 1822, F(0,0.5) = 1830. The riskless rate is 2.0%. What is the implied per annum lease rate under, [...]

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 What can be said about the settlement risk of a Eurodollar futures contract and a FRA with the same term? 选项 A.The Eurodollar futures contract and a FRA have the same settlement risk. [...]

题目 A fund manager owns a 50 million USD growth portfolio that has a beta of 1.6 relative to the S&P 500. The S&P 500 Index is trading at 1190. Calculate the number of futures contracts [...]

题目 Which of the following is TRUE concerning basis risk? In a hedge using futures contracts: 选项 A.basis risk of the hedged security is replaced with price risk. B.price risk of the hedged [...]

题目 Three months ago a company entered in a one-year forward contract to buy 100 ounces of gold. At the time, the one-year forward price was USD 1,000 per ounce. The nine-month forward price of [...]

题目 A portfolio manager manages a $10 million portfolio that has a beta of 1.0 relative to the S&P 500. The S&P 500 futures are trading at 1,100 and the multiplier is 250. He would like to [...]

题目 The spot price of silver is $20.00 per ounce. The storage cost is $3.00 per ounce per year payable quarterly in arrears. The risk-free interest rate is flat at 3.0% per annum with continuous [...]

题目 The term contango is used to describe a market in which: 选项 A.Forward prices are above spot prices. B.Forward prices are below spot prices. C.Spot prices and forward prices are at the same [...]