32.
The value of a futures contract for storable commodities can be determined by the _______
and the model __________ consistent with parity relationships.
33.
In the equation Profits =
a
+
b
× ($/₤ exchange rate),
b
is a measure of
34.
Hedging one commodity by using a futures contract on another commodity is called
35.
You are given the following information about a portfolio you are to manage. For the long-
term you are bullish, but you think the market may fall over the next month.
If the anticipated market value materializes, what will be your expected loss on the
portfolio?
36.
You are given the following information about a portfolio you are to manage. For the long-
term you are bullish, but you think the market may fall over the next month.
What is the dollar value of your expected loss?
37.
You are given the following information about a portfolio you are to manage. For the long-
term you are bullish, but you think the market may fall over the next month.
For a 200-point drop in the S&P 500, by how much does the value of the futures position
change?
38.
You are given the following information about a portfolio you are to manage. For the long-
term you are bullish, but you think the market may fall over the next month.
How many contracts should you buy or sell to hedge your position? Allow fractions of
contracts in your answer.
39.
If you sold S&P 500 Index futures contract at a price of 950 and closed your position when
the index futures was 947, you incurred:
40.
If you took a short position in three S&P 500 futures contracts at a price of 900 and closed
the position when the index futures was 885, you incurred:
41.
Suppose that the risk-free rates in the United States and in the Canada are 3% and 5%,
respectively. The spot exchange rate between the dollar and the Canadian dollar (C$) is
$0.80/C$. What should the futures price of the C$ for a one-year contract be to prevent
arbitrage opportunities, ignoring transactions costs.
42.
Suppose that the risk-free rates in the United States and in the Canada are 5% and 3%,
respectively. The spot exchange rate between the dollar and the Canadian dollar (C$) is
$0.80/C$. What should the futures price of the C$ for a one-year contract be to prevent
arbitrage opportunities, ignoring transactions costs.
43.
Suppose that the risk-free rates in the United States and in the United Kingdom are 6%
and 4%, respectively. The spot exchange rate between the dollar and the pound is
$1.60/BP. What should the futures price of the pound for a one-year contract be to prevent
arbitrage opportunities, ignoring transactions costs.
44.
You are given the following information about a portfolio you are to manage. For the long-
term you are bullish, but you think the market may fall over the next month.
If the anticipated market value materializes, what will be your expected loss on the
portfolio?