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138
A trader uses 3-month Eurodollar futures to lock in a rate on $5 million for six months. How many contracts are required?
A.5
B.10
C.15
D.20
A.5
B.10
C.15
D.20
Answer: B
Each contract locks in the rate on $1 million dollars for three months. A six month instrument is approximately twice as sensitive to rate movements as a three month instrument because it has twice the duration. 2×5 = 10 contracts are therefore required
Each contract locks in the rate on $1 million dollars for three months. A six month instrument is approximately twice as sensitive to rate movements as a three month instrument because it has twice the duration. 2×5 = 10 contracts are therefore required
Karteninfo:
Autor: CoboCards-User
Oberthema: Finance & Investment
Thema: Derivatives
Veröffentlicht: 27.10.2015