题目内容

Which of the following is true for an interest rate swap? ( )

A swap is usually worth close to zero when it is first negotiated
B. Each forward rate agreement underlying a swap is worth close to zero when the swap is first entered into
Comparative advantage is a valid reason for entering into the swap
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

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

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

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