Which of the following describes the way the futures price of a foreign currency is quoted by the CME group? ( )
A. The number of
B. The number of the foreign currency per
C. Some futures prices are always quoted as the number of
D. There are no quotation conventions for futures prices
E. S. dollars per unit of the foreign currency
F. S. dollar
G. S. dollars per unit of the foreign currency and some are always quoted the other way round
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A company invests $1,000 in a five-year zero-coupon bond and $4,000 in a ten-year zero-coupon bond. What is the duration of the portfolio? ( )
A. 6 years
B. 7 years
C. 8 years
D. 9 years
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? ( )
A. 100
B. 200
C. 300
D. 400
Which of the following describes an interest rate swap? ( )
A. The exchange of a fixed rate bond for a floating rate bond
B. A portfolio of forward rate agreements
C. An agreement to exchange interest at a fixed rate for interest at a floating rate
D. All of the above
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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