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CFA Sample Exam #2 Questions
1) #29 - In determining the maximum potential loss on the butterfly spread, I understand why we get 0.70 loss but dont understand why CFAI multiplies it by 100 and then by 100? The narrative states that each contract is for 100 shares; however, it also says that the chen wants to use 200 contracts long and short.. So wouldnt we do 200X100X0.70 = $14K? The solution is $7K…
2) #9 - The solutions states that in going long an MBS, we should not hedge th spread - is this always true?
3) #12 - in comparing the MBS with the 2 bond hedge, where in the question does it say that we need to divide 168 bps by 12 to get a monthly average? ….
Thanks for your help. |
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发表于 2013-4-16 09:50
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