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【金融市场与产品】FRM一级每日一题

发表时间: 2015-02-05 12:32:24 编辑:

【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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