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3889Why Path Dependence Matters Even with the Same Terminal PriceWhy is a short futures position not safer for margining just because its total PnL formula flips sign versus a long?金融与交易中等essay未尝试面试订阅3890How to Sanity-Check a Margin ProblemA desk says a basis trade is market neutral, so margin calls on the futures leg should not matter. What is wrong with that statement?金融与交易中等essay未尝试面试订阅3891CIP Fair FX Forward 1Under covered interest parity with continuous compounding, spot is 1.08, forward is 1.113, the domestic rate is 5.00%, and maturity is 1.5 years. What foreign rate is implied?金融与交易中等derivation未尝试面试订阅3892CIP Fair FX Forward 2Under covered interest parity with continuous compounding, spot is 145, forward is 147.95, the foreign rate is 1.00%, and maturity is 0.75 years. What domestic rate is implied?金融与交易中等derivation未尝试面试订阅3893CIP Fair FX Forward 3Spot is 0.92, the fair CIP forward is 0.9386, the domestic rate is 4.00%, and the foreign rate is 2.00% under continuous compounding. What maturity is implied?金融与交易中等derivation未尝试面试订阅3894CIP Fair FX Forward 4The fair FX forward is 112.5 under continuous compounding. If the domestic rate is 3.00%, the foreign rate is 1.50%, and maturity is 0.5 years, what spot rate is implied by CIP?金融与交易中等derivation未尝试面试订阅3895CIP Fair FX Forward 5Spot is 1.32, forward is 1.3003, and maturity is 1 year under continuous compounding. What domestic-minus-foreign rate differential r d-r f is implied by CIP?金融与交易中等derivation未尝试面试订阅3896Implied FX Basis 1Define an FX basis spread b by F 0=S 0e (r d-r f-b)T . If spot is 1.1, observed forward is 1.125, domestic rate is 0.04, foreign rate is 0.01, and maturity is 1, what is the implied basis b?金融与交易中等derivation未尝试面试订阅3897Implied FX Basis 2Define an FX basis spread b by F 0=S 0e (r d-r f-b)T . If spot is 145, observed forward is 146.2, domestic rate is 0.02, foreign rate is 0.005, and maturity is 0.5, what is the implied basis b?金融与交易中等derivation未尝试面试订阅3899Implied FX Basis 4Define an FX basis spread b by F 0=S 0e (r d-r f-b)T . If spot is 7.2, observed forward is 7.06, domestic rate is 0.015, foreign rate is 0.025, and maturity is 1.5, what is the implied basis b?金融与交易中等derivation未尝试面试订阅3901Covered Arbitrage Direction 1Spot is 1.1, the domestic rate is 4.00%, the foreign rate is 1.00%, maturity is 1 years, and the market forward is 1.16 under continuous compounding. Is the forward rich or cheap relative to CIP, and what covered-arbitrage profit is locked in per 1 unit of foreign currency notional?金融与交易中等derivation未尝试面试订阅3902Covered Arbitrage Direction 2Spot is 145, the domestic rate is 2.00%, the foreign rate is 0.50%, maturity is 0.5 years, and the market forward is 144.5 under continuous compounding. Is the forward rich or cheap relative to CIP, and what covered-arbitrage profit is locked in per 1 unit of foreign currency notional?金融与交易中等derivation未尝试面试订阅3904Covered Arbitrage Direction 4Spot is 1.35, the domestic rate is 1.00%, the foreign rate is 4.00%, maturity is 1.5 years, and the market forward is 1.26 under continuous compounding. Is the forward rich or cheap relative to CIP, and what covered-arbitrage profit is locked in per 1 unit of foreign currency notional?金融与交易中等derivation未尝试面试订阅3905Covered Arbitrage Direction 5Spot is 109, the domestic rate is 1.50%, the foreign rate is 0.50%, maturity is 1 years, and the market forward is 111 under continuous compounding. Is the forward rich or cheap relative to CIP, and what covered-arbitrage profit is locked in per 1 unit of foreign currency notional?金融与交易中等derivation未尝试面试订阅3906Domestic Cash Needed for a Covered FX Hedge 1You must lock in the domestic-currency cost of buying 10000000 units of foreign currency at time 1. Spot is 1.1, domestic rate is 0.04, and foreign rate is 0.01 with continuous compounding. How much domestic cash is needed today to set up the covered money-market hedge?金融与交易中等derivation未尝试面试订阅3907Domestic Cash Needed for a Covered FX Hedge 2You must lock in the domestic-currency cost of buying 5000000 units of foreign currency at time 0.5. Spot is 145, domestic rate is 0.02, and foreign rate is 0.005 with continuous compounding. How much domestic cash is needed today to set up the covered money-market hedge?金融与交易中等derivation未尝试面试订阅3909Domestic Cash Needed for a Covered FX Hedge 4You must lock in the domestic-currency cost of buying 8000000 units of foreign currency at time 1.5. Spot is 7.2, domestic rate is 0.015, and foreign rate is 0.025 with continuous compounding. How much domestic cash is needed today to set up the covered money-market hedge?金融与交易中等derivation未尝试面试订阅3911Why CIP Is Just Cash-and-Carry in Two CurrenciesWhy is covered interest parity best viewed as a two-currency version of cash-and-carry arbitrage?金融与交易中等essay未尝试面试订阅3912Why Quote Direction Matters So MuchWhy do many otherwise careful quant candidates make sign mistakes in FX forward questions?金融与交易中等essay未尝试面试订阅3913Why CIP Breaks in Stressed MarketsIf CIP is a no-arbitrage relation, why can markets still exhibit a persistent cross-currency basis?金融与交易中等essay未尝试面试订阅