标题: Reading 61: Futures Markets and Contracts-LOS g 习题精选 [打印本页]
作者: 1215 时间: 2011-3-25 11:45 标题: [2011]Session 16-Reading 61: Futures Markets and Contracts-LOS g 习题精选
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:
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A) |
Eurodollar futures do not have a delivery option that increases price efficiency. | |
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B) |
the Eurodollar future is denominated in U.S. dollars and LIBOR is based upon Eurodollar time deposits. | |
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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.
作者: 1215 时间: 2011-3-25 11:46
Which of the following statements regarding Eurodollar futures is most accurate?
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A) |
Eurodollar futures are priced as a discount yield and LIBOR is subtracted from 100 to get the quote. | |
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B) |
Every basis point (0.01%) move in annualized 60-day LIBOR represents a $25 gain or loss on the contract. | |
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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.
作者: 1215 时间: 2011-3-25 11:46
Unlike U.S. T-bills and their futures contracts, no riskless arbitrage relation exists between LIBOR and the Eurodollar futures contract:
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A) |
but Eurodollar futures contracts are still a useful, widely used hedging vehicle for exposure to LIBOR. | |
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B) |
therefore investors must utilize synthetic instruments to hedge their exposure to LIBOR. | |
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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.
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