Start Discovering Solved Questions and Your Course Assignments
TextBooks Included
Active Tutors
Asked Questions
Answered Questions
suppose that an institutional investor wants to hedge a portfolio of mortgage pass-through securities using treasury
the following excerpt appeared in the article duration in the november 16 1992 issue of derivatives week p 9tsa capital
you work for a conservative investment management firm you recently asked one of the senior partners for permission to
an investor owns a call option on bond x with a strike price of 100 the coupon rate on bond x is 9 and has 10 years to
when the buyer of a put option on a futures contract exercises explain the resulting position for the buyer and the
an investor wants to protect against a rise in the market yield on a treasury bond should the investor purchase a put
theres no real difference between options and futures both are hedging tools and both are derivative products its just
what arguments would be given by those who feel that the black-scholes model does not apply in pricing interest-rate
you are the senior portfolio manager of an institutional account you are reviewing the response of a junior member of
what are the differences between an option on a bond and an option on a bond futures
does it make sense for an investor who wants to speculate on interest-rate movements to purchase an otc
i dont understand how portfolio managers can calculate the duration of an interest-rate option dont they mean the
a what factors affect the modified duration of an interest-rate optionb a deep-in-the-money option always provides a
in discussing the performance of the external managers hired by a financial institution the following statement was
explain the differences between a futures contract and a forward
a what is counterparty riskb why do both the buyer and seller of a forward contract face counterparty
what does it mean if the cost of carry is positive for a treasury bond futures
if the eurodollar futures contract is quoted at 9175 what are the annualized futures three-month
suppose that an investor purchased a eurodollar futures contract at an index price of 9500 at the settlement date
explain how a market participant concerned with a decline in three-month libor can hedge that risk using the eurodollar
for a treasury futures contract how do you think the cost of carry will affect the decision of the short as to when in
explain the asymmetric effect on the variation margin and cash flow for the short and long in an interest-rate futures
what are the delivery options granted to the seller of the treasury bond futures
how is the theoretical futures price of a treasury bond futures contract affected by the delivery options granted to
explain how the shape of the yield curve influences the theoretical price of a treasury bond futures