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3781Long-Run Mean from a One-Year Expected LevelAn OU process starts at X 0 = 8 and has mean-reversion speed kappa = 0.6. If E[X 1] = 5.6, what long-run mean theta is implied?随机过程中等derivation未尝试面试订阅3782Long-Run Mean from a Half-Year Reversion TargetAn OU process starts at X 0 = 2.5 and has mean-reversion speed kappa = 1.2. If the expected value at t = 0.5 is 1.4, what long-run mean theta is implied?随机过程中等derivation未尝试面试订阅3784Long-Run Mean from a Mid-Horizon ForecastAn OU process starts at X 0 = 1.5 and has mean-reversion speed kappa = 0.9. If E[X 1.5] = 2.1, what long-run mean theta is implied?随机过程中等derivation未尝试面试订阅3816Three-Year Annual Par Swap RateA spot-starting fixed-for-floating swap has accrual fractions [1, 1, 1] and discount factors [0.97, 0.94, 0.9] for its payment dates. What is the par fixed swap rate?金融与交易中等derivation未尝试面试订阅3817Two-Year Semiannual Par Swap RateA spot-starting fixed-for-floating swap has accrual fractions [0.5, 0.5, 0.5, 0.5] and discount factors [0.985, 0.969, 0.952, 0.934] for its payment dates. What is the par fixed swap rate?金融与交易中等derivation未尝试面试订阅3819Four-Year Annual Par Swap RateA spot-starting fixed-for-floating swap has accrual fractions [1, 1, 1, 1] and discount factors [0.96, 0.92, 0.88, 0.84] for its payment dates. What is the par fixed swap rate?金融与交易中等derivation未尝试面试订阅3820Three-Year Semiannual Par Swap RateA spot-starting fixed-for-floating swap has accrual fractions [0.5, 0.5, 0.5, 0.5, 0.5, 0.5] and discount factors [0.989, 0.977, 0.964, 0.95, 0.935, 0.919] for its payment dates. What is the par fixed swap rate?金融与交易中等derivation未尝试面试订阅3821Payer Swap Mark-to-Market IA payer swap has notional N=100000000, swap annuity A=4.2, fixed coupon K=3.00\%, and current par market swap rate S mkt =3.40\%. What is the current mark-to-market value to that side?金融与交易中等derivation未尝试面试订阅3823Payer Swap Mark-to-Market IIIA payer swap has notional N=150000000, swap annuity A=5, fixed coupon K=4.50\%, and current par market swap rate S mkt =4.10\%. What is the current mark-to-market value to that side?金融与交易中等derivation未尝试面试订阅3824Receiver Swap Mark-to-Market IA receiver swap has notional N=50000000, swap annuity A=2.7, fixed coupon K=2.20\%, and current par market swap rate S mkt =2.60\%. What is the current mark-to-market value to that side?金融与交易中等derivation未尝试面试订阅3831Payer DV01 Approximation IA payer swap has notional N=100000000 and swap annuity A=4.5. Approximate the P\\&L impact of a parallel move of 0.08\% in the market swap rate using \Delta PV\approx \pm N A\,\Delta S with the appropriate sign.金融与交易中等derivation未尝试面试订阅3832Receiver DV01 Approximation IA receiver swap has notional N=80000000 and swap annuity A=3.2. Approximate the P\\&L impact of a parallel move of 0.05\% in the market swap rate using \Delta PV\approx \pm N A\,\Delta S with the appropriate sign.金融与交易中等derivation未尝试面试订阅3833Payer DV01 Approximation IIA payer swap has notional N=50000000 and swap annuity A=7.1. Approximate the P\\&L impact of a parallel move of -0.12\% in the market swap rate using \Delta PV\approx \pm N A\,\Delta S with the appropriate sign.金融与交易中等derivation未尝试面试订阅3834Receiver DV01 Approximation IIA receiver swap has notional N=200000000 and swap annuity A=2.4. Approximate the P\\&L impact of a parallel move of -0.03\% in the market swap rate using \Delta PV\approx \pm N A\,\Delta S with the appropriate sign.金融与交易中等derivation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