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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 When an investor is obligated to buy the underlying asset in a futures position, which of the following is the position of the investor? 选项 A.basis trade B.long-futures position [...]

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 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 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 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 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 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 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 [...]