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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 What is the purpose of margin payments associated with futures contracts? 选项 A.To reduce the maintenance cost for participants. B.To reduce the credit risk for participants. C.To reduce [...]

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 [...]

题目 When is the contract rate of the FRA fixed? 选项 A.On the trade date B.On the value date C.On the rate-fixing date D.On the settlement date 答案 A 解析 The contract rate of the FRA is [...]

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 To utilize the cash position 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 $15 [...]

题目 The current price of Commodity X in the spot market is $42.47. Forward contracts for delivery of Commodity X in one year are trading at a price of $43.11. If the current continuously [...]

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 [...]