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
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
What does rho 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
Which of the following is true? ( )
A. The delta of a European put equals minus the delta of a European call
B. The delta of a European put equals the delta of a European call
C. The gamma of a European put equals minus the gamma of a European call
D. The gamma of a European put equals the gamma of a European call
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