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3840How to Sanity-Check a Swap NumberWhat is a fast sanity check when someone hands you a swap rate or swap MTM number on the desk?金融与交易中等essay未尝试面试订阅3841PnL of a Convergence Trade from a Basis MoveA trader is long spot and short one futures contract. Initially spot is 100 and futures is 104, so the cash basis is -4. Later the basis changes by 1.5. Ignoring financing, what is the trade's marked-to-market PnL change?金融与交易中等derivation未尝试面试订阅3842PnL of a Convergence Trade from a Basis MoveA trader is long spot and short one futures contract. Initially spot is 80 and futures is 76, so the cash basis is 4. Later the basis changes by -2. Ignoring financing, what is the trade's marked-to-market PnL change?金融与交易中等derivation未尝试面试订阅3843PnL of a Convergence Trade from a Basis MoveA trader is long spot and short one futures contract. Initially spot is 52 and futures is 52.8, so the cash basis is -0.8. Later the basis changes by 0.6. Ignoring financing, what is the trade's marked-to-market PnL change?金融与交易中等derivation未尝试面试订阅3844PnL of a Convergence Trade from a Basis MoveA trader is long spot and short one futures contract. Initially spot is 120 and futures is 123, so the cash basis is -3. Later the basis changes by 2. Ignoring financing, what is the trade's marked-to-market PnL change?金融与交易中等derivation未尝试面试订阅3846Recovering Spot from a Futures Quote and BasisA futures contract trades at 104, and the cash basis S-F is observed to be -3. What is spot?金融与交易简单derivation未尝试面试订阅3847Recovering Spot from a Futures Quote and BasisA futures contract trades at 76, and the cash basis S-F is observed to be 4. What is spot?金融与交易简单derivation未尝试面试订阅3848Recovering Spot from a Futures Quote and BasisA futures contract trades at 52.8, and the cash basis S-F is observed to be -0.8. What is spot?金融与交易简单derivation未尝试面试订阅3849Recovering Spot from a Futures Quote and BasisA futures contract trades at 123, and the cash basis S-F is observed to be 2.5. What is spot?金融与交易简单derivation未尝试面试订阅3850Recovering Spot from a Futures Quote and BasisA futures contract trades at 92, and the cash basis S-F is observed to be -1.2. What is spot?金融与交易简单derivation未尝试面试订阅3851Recovering Futures from Spot and BasisSpot is 100 and the cash basis S-F is -4. What futures price does that imply?金融与交易简单derivation未尝试面试订阅3852Recovering Futures from Spot and BasisSpot is 80 and the cash basis S-F is 3. What futures price does that imply?金融与交易简单derivation未尝试面试订阅3853Recovering Futures from Spot and BasisSpot is 60 and the cash basis S-F is -1.5. What futures price does that imply?金融与交易简单derivation未尝试面试订阅3856Basis Risk in a One-for-One HedgeA cash position is hedged one-for-one with futures. During the holding window the basis changes by 1.5. What hedge slippage does that basis move create for a short-cash/long-futures hedge?金融与交易中等derivation未尝试面试订阅3857Basis Risk in a One-for-One HedgeA cash position is hedged one-for-one with futures. During the holding window the basis changes by -2.0. What hedge slippage does that basis move create for a short-cash/long-futures hedge?金融与交易中等derivation未尝试面试订阅3861Why Basis Risk Makes a Cash-Futures Hedge ImperfectWhy can a cash-futures hedge still leave risk even if the futures notional matches the cash position perfectly?金融与交易中等essay未尝试面试订阅3862Why Basis Tends to Converge Near ExpiryWhy does basis often shrink as a futures contract approaches expiry?金融与交易中等essay未尝试面试订阅3863Why Basis Can Be Negative in ContangoWhy does the cash basis S-F become negative in contango markets?金融与交易中等essay未尝试面试订阅3864Why Basis Can Be Positive in BackwardationWhy does the cash basis S-F become positive in backwardation?金融与交易中等essay未尝试面试订阅3865Why Traders Monitor Basis Separately from Outright PriceWhy is basis worth monitoring as its own state variable rather than only watching spot and futures separately?金融与交易中等essay未尝试面试订阅