标题: Derivatives Quiz [打印本页]

---

作者: transferpricing    时间: 2011-7-11 19:40     标题: Derivatives Quiz

You currently have a short futures position in the S&P 500 contract. Which of the following set of trades results in a synthetic long equity position?

A) Short Treasuries + Long S&P futures
B) Long Treasuries + Long S&P futures x2
C) Long Treasuries + Long S&P futures

---

作者: ohai    时间: 2011-7-11 19:40

B? You need a long treasury position and a long futures position to equitize the cash.

---

作者: Roflnadal    时间: 2011-7-11 19:40

B

NO EXCUSES

---

作者: Windjam    时间: 2011-7-11 19:40

I remember the long treasuries + Long S&P Futures but why X2?

---

作者: bkballa    时间: 2011-7-11 19:40

If he's short futures he needs to go long to offset those. Then he must go long to get positive equity exposure.

---

欢迎光临 CFA论坛 (http://forum.theanalystspace.com/)

Powered by Discuz! 7.2