首页 | 学习中心 | 注册 登录
返回列表 发帖
1215

UID
152243 
帖子
3978 
主题
858 
注册时间
2009-12-15 
最后登录
2011-4-15 
1# 跳转到 » 倒序看帖
打印
tT
发表于 2011-3-25 11:45 | 只看该作者

Reading 61: Futures Markets and Contracts-LOS g 习题精选

style, reason, center, creating, 2011
Session 16: Derivative Investments: Forwards and Futures
Reading 61: Futures Markets and Contracts

LOS g: Describe the difficulties in pricing Eurodollar futures and creating a pure arbitrage opportunity

 

 

The primary reason that Eurodollar futures contracts do not allow a pure arbitrage opportunity relative to LIBOR is that:

A)
 Eurodollar futures do not have a delivery option that increases price efficiency.
B)
 the Eurodollar future is denominated in U.S. dollars and LIBOR is based upon Eurodollar time deposits.
C)
 the value of the deposit does not change $25 for every basis point change in expected 90-day LIBOR.

 

Eurodollar futures are priced at a discount yield. LIBOR is an add-on yield, which is the rate that is earned on the face amount of a deposit. The result is that the deposit value is not perfectly hedged by the Eurodollar contract.

收藏 分享

1215

UID
152243 
帖子
3978 
主题
858 
注册时间
2009-12-15 
最后登录
2011-4-15 
2#
发表于 2011-3-25 11:46 | 只看该作者

Which of the following statements regarding Eurodollar futures is most accurate?

A)
 Eurodollar futures are priced as a discount yield and LIBOR is subtracted from 100 to get the quote.
B)
 Every basis point (0.01%) move in annualized 60-day LIBOR represents a $25 gain or loss on the contract.
C)
 Eurodollars futures are based on 60-day LIBOR, which is an add-on yield.

Eurodollar futures are priced as a discount yield and are quoted as 100 minus 90-day LIBOR.

TOP

1215

UID
152243 
帖子
3978 
主题
858 
注册时间
2009-12-15 
最后登录
2011-4-15 
3#
发表于 2011-3-25 11:46 | 只看该作者

Unlike U.S. T-bills and their futures contracts, no riskless arbitrage relation exists between LIBOR and the Eurodollar futures contract:

A)
 but Eurodollar futures contracts are still a useful, widely used hedging vehicle for exposure to LIBOR.
B)
 therefore investors must utilize synthetic instruments to hedge their exposure to LIBOR.
C)
 resulting in most investors hedging their LIBOR exposure with 90-day T-bill contracts.

Although an imperfect hedge, Eurodollar futures are still widely used to hedge exposure to LIBOR.

TOP

返回列表