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On a certain day the highest temperature is 77 degrees and the lowest temperature is 61 degrees. What is the day’s CDD? ( )

A. 5
B. 12
C. 4
D. 0

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On March 1 the price of a commodity is （$）1,000 and the December futures price is $1,015. On November 1 the price is $980 and the December futures price is $981. A producer of the commodity entered into a December futures contracts on March 1 to hedge the sale of the commodity on November 1. It closed out its position on November 1. What is the effective price (after taking account of hedging) received by the company for the commodity? ( )

A. $1,016
B. $1,001
C. $981
D. $1,014

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In a CDS with a notional principal of $100 million the reference entity defaults. What is the payoff to the buyer of protection when the recovery rate is 30%? ( )

A. $100 million
B. $30 million
C. $130 million
D. $70 million

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Which of the following describes a futures-style option? ( )

An option on a futures
B. An option on spot with daily settlement
C. A futures on an option payoff
D. None of the above

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What does vega measure? ( )

A. The rate of change of delta with the asset price
B. The rate of change of the portfolio value with the passage of time
C. The sensitivity of a portfolio value to interest rate changes
D. None of the above

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On a certain day the highest temperature is 77 degrees and the lowest temperature is 61 degrees. What is the day’s CDD? ( )

A. 5 B. 12 C. 4 D. 0

In a CDS with a notional principal of $100 million the reference entity defaults. What is the payoff to the buyer of protection when the recovery rate is 30%? ( )

Which of the following describes a futures-style option? ( )

What does vega measure? ( )

A. 5
B. 12
C. 4
D. 0