题目3887 · 金融与交易
Why Forwards and Futures Need Not Coincide
Why does adding a maintenance margin make liquidity needs path dependent even though total futures PnL still telescopes?
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中文题目题目3914 · 金融与交易
Why a Hedger Cares More About Locked Cost Than Forecast
Why does an importer using FX forwards often care more about locking the domestic purchase cost than about whether the forward is an unbiased forecast of spot?
打开 →题目5188 · 金融与交易
Why Reverse Cash-And-Carry Exists
Why is reverse cash-and-carry the mirror image of ordinary cash-and-carry when forwards are too cheap?
打开 →模块1.4.1 · 金融与量化投资 · 衍生品
期货与远期
derivatives · futures · forwards · foundations · pricing · cost-of-carry · no-arbitrage · basis
打开 →题目5181 · 金融与交易
Arbitrage Direction 1
Spot is 100, maturity is 1 years, and the funding rate is 0.03. The quoted forward price is 104. Assuming no income and no frictions, which arbitrage direction is indicated, and what is the mispricing per unit relative to fair value?
打开 →题目5182 · 金融与交易
Arbitrage Direction 2
Spot is 90, maturity is 0.5 years, and the funding rate is 0.04. The quoted forward price is 91. Assuming no income and no frictions, which arbitrage direction is indicated, and what is the mispricing per unit relative to fair value?
打开 →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5171 · 金融与交易
Carry-Adjusted Forward 1
Spot is 95. The continuously compounded funding rate is 0.04, carry cost is 0, and asset income/convenience yield is 0.01 over maturity T=1. What is the fair forward price?
打开 →题目5172 · 金融与交易
Carry-Adjusted Forward 2
Spot is 110. The continuously compounded funding rate is 0.03, carry cost is 0.01, and asset income/convenience yield is 0 over maturity T=0.5. What is the fair forward price?
打开 →题目5173 · 金融与交易
Carry-Adjusted Forward 3
Spot is 70. The continuously compounded funding rate is 0.05, carry cost is 0, and asset income/convenience yield is 0.02 over maturity T=1.5. What is the fair forward price?
打开 →题目5174 · 金融与交易
Carry-Adjusted Forward 4
Spot is 130. The continuously compounded funding rate is 0.045, carry cost is 0.015, and asset income/convenience yield is 0 over maturity T=1. What is the fair forward price?
打开 →题目5175 · 金融与交易
Carry-Adjusted Forward 5
Spot is 55. The continuously compounded funding rate is 0.025, carry cost is 0.005, and asset income/convenience yield is 0.01 over maturity T=2. What is the fair forward price?
打开 →题目3891 · 金融与交易
CIP Fair FX Forward 1
Under 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?
打开 →题目3892 · 金融与交易
CIP Fair FX Forward 2
Under 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?
打开 →题目3893 · 金融与交易
CIP Fair FX Forward 3
Spot 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?
打开 →题目3894 · 金融与交易
CIP Fair FX Forward 4
The 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?
打开 →题目3895 · 金融与交易
CIP Fair FX Forward 5
Spot 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?
打开 →题目3901 · 金融与交易
Covered Arbitrage Direction 1
Spot 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 notion
打开 →题目3902 · 金融与交易
Covered Arbitrage Direction 2
Spot 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 not
打开 →题目3904 · 金融与交易
Covered Arbitrage Direction 4
Spot 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 not
打开 →题目3905 · 金融与交易
Covered Arbitrage Direction 5
Spot 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 notiona
打开 →题目3906 · 金融与交易
Domestic Cash Needed for a Covered FX Hedge 1
You 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?
打开 →题目3907 · 金融与交易
Domestic Cash Needed for a Covered FX Hedge 2
You 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?
打开 →题目3909 · 金融与交易
Domestic Cash Needed for a Covered FX Hedge 4
You 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?
打开 →题目5166 · 金融与交易
Fair Forward Price 1
A non-dividend-paying asset has spot price 100. If the annual funding rate is 0.04 and maturity is 1 years, what is the no-arbitrage forward price under annual compounding?
打开 →题目5167 · 金融与交易
Fair Forward Price 2
A non-dividend-paying asset has spot price 85. If the annual funding rate is 0.03 and maturity is 0.5 years, what is the no-arbitrage forward price under annual compounding?
打开 →题目3866 · 金融与交易
Final Margin Balance 1
A long futures account has initial margin 7000, maintenance margin 5600, contract multiplier 200, and settlements [100, 95, 92, 95]. Whenever the end-of-day balance drops below maintenance, treasury tops it back up to the initial margin the same evening. Ignoring interest, how mu
打开 →题目3867 · 金融与交易
Final Margin Balance 2
A short futures account has initial margin 6500, maintenance margin 5000, contract multiplier 220, and settlements [75, 79, 82, 80]. Whenever the end-of-day balance drops below maintenance, treasury tops it back up to the initial margin the same evening. Ignoring interest, how mu
打开 →题目3868 · 金融与交易
Final Margin Balance 3
A long futures account has initial margin 5000, maintenance margin 4300, contract multiplier 60, and settlements [210, 205, 198, 201, 194]. Whenever the end-of-day balance drops below maintenance, treasury tops it back up to the initial margin the same evening. Ignoring interest,
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