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[主观题]

Based on the information given, what initial price should Lewis recommend for a forward contract on

Monica Lewis, CFA, has been hired to review data on a series of forward contracts for a major client. The client has asked for an analysis of a contract with each of the following characteristics:

A forward contract on a U.S. Treasury bond

A forward rate agreement (FRA)

A forward contract on a currency

Information related to a forward contract on a U.S. Treasury bond: The Treasury bond carries a 6 percent coupon and has a current spot price of $1,071.77 (including accrued interest). A coupon has just been paid and the next coupon is expected in 183 days. The annual risk-free rate is 5 percent. The forward contract will mature in 195 days.

Information related to a forward rate agreement: The relevant contract is a 3 x 9 FRA. The current annualized 90-day money market rate is 3.5 percent and the 270-day rate is 4.5 percent. Based on the best available forecast, the 180-day rate at the expiration of the contract is expected to be 4.2 percent.

Information related to a forward contract on a currency: The risk-free rate in the U.S. is 5 percent and 4 percent in Switzerland. The current spot exchange rate is $0.8611 per Swiss France (SFr). The forward contract will mature in 200 days.

Part 1)

Based on the information given, what initial price should Lewis recommend for a forward contract on the Treasury bond?

A)$1,035.12.

B)$1,073.54.

C)$1,053.66.

D)$1,070.02.

提问人:网友cccllll1850749 发布时间:2022-01-07
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更多“Based on the information given…”相关的问题
第1题
Suppose that instead of a forward contract on the Treasury bond, a similar futures contract was being

Monica Lewis, CFA, has been hired to review data on a series of forward contracts for a major client. The client has asked for an analysis of a contract with each of the following characteristics:

A forward contract on a U.S. Treasury bond

A forward rate agreement (FRA)

A forward contract on a currency

Information related to a forward contract on a U.S. Treasury bond: The Treasury bond carries a 6 percent coupon and has a current spot price of $1,071.77 (including accrued interest). A coupon has just been paid and the next coupon is expected in 183 days. The annual risk-free rate is 5 percent. The forward contract will mature in 195 days.

Information related to a forward rate agreement: The relevant contract is a 3 x 9 FRA. The current annualized 90-day money market rate is 3.5 percent and the 270-day rate is 4.5 percent. Based on the best available forecast, the 180-day rate at the expiration of the contract is expected to be 4.2 percent.

Information related to a forward contract on a currency: The risk-free rate in the U.S. is 5 percent and 4 percent in Switzerland. The current spot exchange rate is $0.8611 per Swiss France (SFr). The forward contract will mature in 200 days.

Part 3)

Suppose that instead of a forward contract on the Treasury bond, a similar futures contract was being considered. Which one of the following alternatives correctly gives the preference that an investor would have between a forward and a futures contract on the Treasury bond?

A)The futures contract will be preferred to the forward contract.

B)An investor would be indifferent between the two types of contracts.

C)It is impossible to say for certain because it depends on the correlation between the underlying asset and interest rates.

D)The forward contract will be preferred to the futures contract.

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第2题
下列物质不是Lewis酸的是()

A.BF 3

B.H +

C.C 2 H 5 O -

D.AlCl 3

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第3题
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第4题
A、B抗原的前体物质是A、M抗原B、H抗原C、血型糖蛋白AD、血型糖蛋白BE、Lewis抗原

A、B抗原的前体物质是

A、M抗原

B、H抗原

C、血型糖蛋白A

D、血型糖蛋白B

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第5题
A.B抗原的前体物质是。

A、H抗原

B、血型糖蛋白A

C、血型糖蛋白B

D、Lewis抗原

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Monica方案

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第7题
Monica is writing her first safety-inspection report. To sound businesslike and professional, Monica should include expressions such as the affected party, the undersigned, and the writer.
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第8题
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right.

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A.Mark admitted that Monica was right, when she provided enough evidence.

B.Mark denied that Monica was right, regardless of her evidence.

C.Mark didn't know whether Monica was right, though she had evidence.

D.Mark accepted Monica's evidence and agreed that she was right.

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第9题
A New Zealand man was recentlysentencedto life imprisonment for the murder of an English tourist,Monica Cantwell.()
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第10题
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(B) Yes, he came in 5 minutes ago.

(C) Welcome to our company.

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A.

B.

C.

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