题目5740 · 脑筋急转弯
Basis Points to Dollars
A spread of 35 basis points is charged on a notional of $8,000,000. What is the dollar amount?
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中文题目题目3856 · 金融与交易
Basis Risk in a One-for-One Hedge
A 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?
打开 →题目3857 · 金融与交易
Basis Risk in a One-for-One Hedge
A 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?
打开 →题目1425 · 脑筋急转弯
Basis-Point Revenue 17
What is 7.5 bp of $640 million?
打开 →题目3896 · 金融与交易
Implied FX Basis 1
Define 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 $b$?
打开 →题目3897 · 金融与交易
Implied FX Basis 2
Define 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 $b$?
打开 →题目3899 · 金融与交易
Implied FX Basis 4
Define 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 $b$?
打开 →题目3841 · 金融与交易
PnL of a Convergence Trade from a Basis Move
A 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?
打开 →题目3842 · 金融与交易
PnL of a Convergence Trade from a Basis Move
A 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?
打开 →题目3843 · 金融与交易
PnL of a Convergence Trade from a Basis Move
A 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?
打开 →题目3844 · 金融与交易
PnL of a Convergence Trade from a Basis Move
A 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?
打开 →题目3851 · 金融与交易
Recovering Futures from Spot and Basis
Spot is 100 and the cash basis $S-F$ is -4. What futures price does that imply?
打开 →题目3852 · 金融与交易
Recovering Futures from Spot and Basis
Spot is 80 and the cash basis $S-F$ is 3. What futures price does that imply?
打开 →题目3853 · 金融与交易
Recovering Futures from Spot and Basis
Spot is 60 and the cash basis $S-F$ is -1.5. What futures price does that imply?
打开 →题目3846 · 金融与交易
Recovering Spot from a Futures Quote and Basis
A futures contract trades at 104, and the cash basis $S-F$ is observed to be -3. What is spot?
打开 →题目3847 · 金融与交易
Recovering Spot from a Futures Quote and Basis
A futures contract trades at 76, and the cash basis $S-F$ is observed to be 4. What is spot?
打开 →题目3848 · 金融与交易
Recovering Spot from a Futures Quote and Basis
A futures contract trades at 52.8, and the cash basis $S-F$ is observed to be -0.8. What is spot?
打开 →题目3849 · 金融与交易
Recovering Spot from a Futures Quote and Basis
A futures contract trades at 123, and the cash basis $S-F$ is observed to be 2.5. What is spot?
打开 →题目3850 · 金融与交易
Recovering Spot from a Futures Quote and Basis
A futures contract trades at 92, and the cash basis $S-F$ is observed to be -1.2. What is spot?
打开 →题目5839 · 金融与交易
Relative Spread In Basis Points
Stock A trades around 20.00 with a quoted spread of 0.04; stock B trades around 200.00 with a quoted spread of 0.30. Express each quoted spread in basis points of its midpoint, and state which name is more expensive to cross on a relative basis.
打开 →题目3863 · 金融与交易
Why Basis Can Be Negative in Contango
Why does the cash basis $S-F$ become negative in contango markets?
打开 →题目3864 · 金融与交易
Why Basis Can Be Positive in Backwardation
Why does the cash basis $S-F$ become positive in backwardation?
打开 →题目3862 · 金融与交易
Why Basis Tends to Converge Near Expiry
Why does basis often shrink as a futures contract approaches expiry?
打开 →题目3865 · 金融与交易
Why Traders Monitor Basis Separately from Outright Price
Why is basis worth monitoring as its own state variable rather than only watching spot and futures separately?
打开 →题目3861 · 金融与交易
Why Basis Risk Makes a Cash-Futures Hedge Imperfect
Why can a cash-futures hedge still leave risk even if the futures notional matches the cash position perfectly?
打开 →题目3693 · 随机过程
Density Tilt Removing Carry from a Basis Process
Under P, a factor satisfies dX_t = 0.9 dt + 0.3 dW_t. A new measure Q is defined by W_t^Q = W_t + theta t. What theta makes the drift of X under Q equal 0?
打开 →题目2502 · 机器学习
Elastic-Net Coordinate Update in an Orthogonal Basis 7
In an orthogonal coordinate with x^T x = d and score z, derive the elastic-net coefficient with L1 weight lambda_1 and L2 weight lambda_2 when the coefficient is active and positive.
打开 →题目1381 · 脑筋急转弯
Two-Leg Basis-Point Net 1
A book has two PnL legs on the same notional $12000000: one contributes 18 bp and the other contributes -7 bp. What is the net dollar PnL?
打开 →题目1383 · 脑筋急转弯
Two-Leg Basis-Point Net 3
A book has two PnL legs on the same notional $25000000: one contributes -4 bp and the other contributes 11 bp. What is the net dollar PnL?
打开 →题目1385 · 脑筋急转弯
Two-Leg Basis-Point Net 5
A book has two PnL legs on the same notional $15000000: one contributes 5 bp and the other contributes 8 bp. What is the net dollar PnL?
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