Exam 6: Interest Rate Futures

Which of the following is closest to the duration of a 2-year bond that pays a coupon of 8% per annum semiannually? The yield on the bond is 10% per annum with continuous compounding.

How much is a basis point?

Which of following is applicable to corporate bonds in the United States?

It is May 1.The quoted price of a bond with an Actual/Actual (in period)day count and 12% per annum coupon (paid semiannually)in the United States is 105.It has a face value of 100 and pays coupons on April 1 and October 1.What is the cash price?

Which of the following is NOT an option open to the party with a short position in the Treasury bond futures contract?

The conversion factor for a bond is approximately

Which of the following day count conventions applies to a US Treasury bond?

What is the quoted discount rate on a money market instrument?

It is May 1.The quoted price of a bond with a 30/360 day count and 12% per annum coupon in the United States is 105.It has a face value of 100 and pays coupons on April 1 and October 1.What is the cash price? \

The most recent settlement bond futures price is 103.5.Which of the following four bonds is cheapest to deliver?

Duration matching immunizes a portfolio against

A trader enters into a long position in one Eurodollar futures contract.How much does the trader gain when the futures price quote increases by 6 basis points?

A portfolio is worth $24,000,000.The futures price for a Treasury note futures contract is 110 and each contract is for the delivery of bonds with a face value of $100,000.On the delivery date the duration of the bond that is expected to be cheapest to deliver is 6 years and the duration of the portfolio will be 5.5 years.How many contracts are necessary for hedging the portfolio?

The time-to-maturity of a Eurodollar futures contract is 4 years and the time-to-maturity of the rate underlying the futures contract is 4.25 years.The standard deviation of the change in the short term interest rate, = 0.011.What does the model in the text estimate as the difference between the futures and the forward interest rate?

An ultra T-bond futures contract is one where

The bonds that can be delivered in a Treasury bond futures contract are

Which of the following is NOT true about duration?

A trader uses 3-month Eurodollar futures to lock in a rate on $5 million for six months.How many contracts are required?

In the U.S.what is the longest maturity for 3-month Eurodollar futures contracts?

Which of the following is true?