标题: Derivative Quiz [打印本页]

---

作者: krause2    时间: 2011-7-11 20:00     标题: Derivative Quiz

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

---

作者: bkballa    时间: 2011-7-11 20:00

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!

---

作者: lcw77    时间: 2011-7-11 20:00

your question is totally wrong
it is synthetic cash you should provide the interest rate

---

作者: Darien    时间: 2011-7-11 20:00

If you use Equity Future to Hedge a Sock Index held they you are left with Rfee.
Since the future only provides RPremium.

---

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

Powered by Discuz! 7.2