Exam 23: Futures, Swaps, and Risk Management

You are given the following information about a portfolio you are to manage.For the long-term you are bullish, but you think the market may fall over the next month. For a 200-point drop in the S&P 500, by how much does the value of the futures position change

A swap

If interest rate parity does not hold,

Which of the following is(are) example(s) of interest rate futures contracts

The value of a futures contract for storable commodities can be determined by the _______ and the model __________ consistent with parity relationships.

In the equation Profits = a + b × ($/₤ exchange rate), b is a measure of

Suppose that the risk-free rates in the United States and in the United Kingdom are 5% and 4%, respectively.The spot exchange rate between the dollar and the pound is $1.80/BP.What should the futures price of the pound for a one-year contract be to prevent arbitrage opportunities, ignoring transactions costs

Which one of the following stock index futures has a multiplier of $100 times the index value

Covered interest arbitrage

If you sold S&P 500 Index futures contract at a price of 950 and closed your position when the index futures was 947, you incurred:

Which one of the following stock index futures has a multiplier of $100 times the index value

Which two indices had the highest correlation between them during the 2008-2012 period

Which two indices had the lowest correlation between them during the 2008-2012 period

E-Minis typically have a value of ____________ percent of the standard contract and exist for ____________.

Suppose that the risk-free rate is 4% and the market risk premium is 6%.You are interested in a cocoa futures contract.The beta of cocoa is -0.291. - What is the required annual rate of return on the cocoa contract - You plan to hold the contract for three months, then take delivery of the cocoa.At that time you expect the spot price of cocoa to be $900 per ton.What is the present value of this three-month deferred claim What would the proper price be for this contract

If interest rate parity holds,