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标题: Reading 59: Futures Markets and Contracts-LOS g 习题精选 [打印本页]
作者: 土豆妮    时间: 2010-4-21 15:25     标题: [2010]Session 16-Reading 59: Futures Markets and Contracts-LOS g 习题精选

Session 16: Derivative Investments: Forwards and Futures
Reading 59: 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:

A)
 Eurodollar futures do not have a delivery option that increases price efficiency.
B)
 the value of the deposit does not change $25 for every basis point change in expected 90-day LIBOR.
C)
 the Eurodollar future is denominated in U.S. dollars and LIBOR is based upon Eurodollar time deposits.


 

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: 土豆妮    时间: 2010-4-21 15:25

Which of the following statements regarding Eurodollar futures is most accurate?

A)
 Every basis point (0.01%) move in annualized 60-day LIBOR represents a $25 gain or loss on the contract.
B)
 Eurodollar futures are priced as a discount yield and LIBOR is subtracted from 100 to get the quote.
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: 土豆妮    时间: 2010-4-21 15:25

Unlike U.S. T-bills and their futures contracts, no riskless arbitrage relation exists between LIBOR and the Eurodollar futures contract:

A)
 therefore investors must utilize synthetic instruments to hedge their exposure to LIBOR.
B)
 resulting in most investors hedging their LIBOR exposure with 90-day T-bill contracts.
C)
 but Eurodollar futures contracts are still a useful, widely used hedging vehicle for exposure to LIBOR.


Although an imperfect hedge, Eurodollar futures are still widely used to hedge exposure to LIBOR.





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