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Time Left:1:53:37 3.56 4.75 102 Listen 101 Question 22 (1 point) Try to structure three near zero cost hedges overpredicts; overpredicts Zaibunnissa Marfanta For large interest rate declines, duration increases, it underpredicts; overpredicts Submit Quiz overpredicts; underpredicts .10 .07 the decline in the bond's price. underpredicts; underpredicts the increases in the bond's price, and for large interest rate empt 1 of 22 questions saved MacBook P Question 20 (2 points) Listen A commodity has a market price of $55. Its May options are about to expire. One of its puts is worth $5 and one of its calls is worth $10. The strike price of the put must be and the strike price of the call must be $55; $55 $60; $45 $60; $50 $50; $45 Question 21 (10 points) Listen As a bond portfolio manager you have the discretion to hedge up to 55% of the US$135 million Corporate bond portfolio for which you are responsible. You have to use a number of hedge structures to ensure the portfolio is protected for each ensuing quarter and then roll the hedge forward. Set up the prospective hedges (at least three option based hedges-collars) using the following prices for the 5 year T-Note (US$100,000 per contract) and discuss the basis risk (the durations are matched) of your hedges: Sept/21 futures contract at 105:12 (remember priced in 32nds) Call (price) Strike Put (price) .11 .26 .63 .94 1.53 2.29 108 107 106 105 104 103 3.05 2.10 1.06 .82 .66 .25 MacBook P Time Left:1:53:37 3.56 4.75 102 Listen 101 Question 22 (1 point) Try to structure three near zero cost hedges overpredicts; overpredicts Zaibunnissa Marfanta For large interest rate declines, duration increases, it underpredicts; overpredicts Submit Quiz overpredicts; underpredicts .10 .07 the decline in the bond's price. underpredicts; underpredicts the increases in the bond's price, and for large interest rate empt 1 of 22 questions saved MacBook P Question 20 (2 points) Listen A commodity has a market price of $55. Its May options are about to expire. One of its puts is worth $5 and one of its calls is worth $10. The strike price of the put must be and the strike price of the call must be $55; $55 $60; $45 $60; $50 $50; $45 Question 21 (10 points) Listen As a bond portfolio manager you have the discretion to hedge up to 55% of the US$135 million Corporate bond portfolio for which you are responsible. You have to use a number of hedge structures to ensure the portfolio is protected for each ensuing quarter and then roll the hedge forward. Set up the prospective hedges (at least three option based hedges-collars) using the following prices for the 5 year T-Note (US$100,000 per contract) and discuss the basis risk (the durations are matched) of your hedges: Sept/21 futures contract at 105:12 (remember priced in 32nds) Call (price) Strike Put (price) .11 .26 .63 .94 1.53 2.29 108 107 106 105 104 103 3.05 2.10 1.06 .82 .66 .25 MacBook P
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Related Book For
Understanding Business Ethics
ISBN: 9781506303239
3rd Edition
Authors: Peter A. Stanwick, Sarah D. Stanwick
Posted Date:
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