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krause2

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tT
发表于 2011-7-11 20:00 | 只看该作者

Derivative Quiz

convert, only, holding, following, his
Q1.

Jon has $75m in a Fund made up of 100% US mid cap equities.
Portfolio Stock Beta = 1.2.

He feels US equities will suffer a downturn and wants to convert his holding to cash but only for three months.

US Mid-Cap Equity Future has the following characteristics;
Beta 1.29
Contract Price 2350
Multiplier 100
Expiration 2.5yrs

a) 296
b) 319
c) 322
d) 332
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bkballa

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2#
发表于 2011-7-11 20:00 | 只看该作者
Sorry Typo - it was meant to be .25year.

This is a question from a PM Mock. I got 297 but that wasnt actually even an option!

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lcw77

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3#
发表于 2011-7-11 20:00 | 只看该作者
your question is totally wrong
it is synthetic cash you should provide the interest rate

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Darien

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4#
发表于 2011-7-11 20:00 | 只看该作者
If you use Equity Future to Hedge a Sock Index held they you are left with Rfee.
Since the future only provides RPremium.

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