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发表时间:2015-02-05 来源: 告诉小伙伴:
【编者按】【金融市场与产品】FRM一级每日一题

【金融市场与产品】FRM">FRM一级每日一题 

If all spot interest rates are increased by one basis point, a value of a portfolio of swaps will increase by $1000. For hedging the portfolio,how many Eurodollar futures contracts are needed?

  • 40
  • 22
  • 11

     D.     1100 

Answer: A

Eurodollar futures contracts are constructed so that the DV01 is always equal to $25 per contract. Therefore, we need 1000/25= 40 contracts.

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