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金 程 教 育 wwwgfedunet 专业创新增值 5 the settlement price of

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专业·创新·增值5The settlement price of a U.S. Treasury bond futures contract is $98.50 (98-16). Thetwo bonds eligible for delivery are:Bond A: Quoted Price of $97.00 and conversion factor (CF) of 0.96;Bond B: Quoted Price of $102.00 and conversion factor (CF) of 1.03.Which bond is cheapest-to-deliver (CTD)?A.Bond A is the CTD because it cost the short $2,440 per contract to deliver.B.Bond A is the CTD because it profits the short $5,500 per contract to deliver.C.Bond B is the CTD because it costs the short $545 per contract to deliver.D.Bond B is the CTD because it profits the short $1,316 per contract to deliver.Answer: CBond B is the CTD because it costs the short $545 per contract to deliverBond A:98.50 ൈ 0.96 െ $97 ൌ െ2.44(-$2,440 per contract).Bond B:98.50 ൈ 1.03 െ $102 ൌ െ0.545(-$545 per contract).
专业·创新·增值6An investor has entered into a forward rate agreement where she has contracted to paya fixed rate of 5 percent on $5,000,000 based on the quarterly rate in three months. Ifinterest rates are compounded quarterly, and the floating rate is 2 percent in threemonths, what is the theoretical payoff at the end of the sixth month? The investor will:
专业·创新·增值7A risk analyst at a commodities trading firm is examining the supply and demandconditions for various commodities and is concerned about the volatility of the forwardprices for silver in the medium term. Currently, silver is trading at a spot price of USD20.35 per troy ounce and the six-month forward price is quoted at USD 20.50 per troyounce. Assuming that after six months the lease rate rises above the continuouslycompounded interest rate, which of the following statements is correct about the shapeof the silver forward curve after six months?
专业·创新·增值

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