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【金融市场&估值与风险建模】FRM每日真题

发表时间: 2015-04-17 11:00:22 编辑:金程frm

【金融市场&估值与风险建模】FRM每日真题A company entered in a one-year forward contract that buying 100 ounces of gold three months ago. When the price was USD

【金融市场&估值与风险建模】FRM每日真题

1. A company entered in a one-year forward contract that buying 100 ounces of gold three months ago. When the price was USD 1,000 per ounce. The nine-month forward price of gold is now USD 1,050 per ounce. The continuously-compounded risk-free rate is 4% per year for all maturities and there are no storage costs. The value of the contract is closet to:

  1. USD 5,000
  2. USD 4,852
  3. USD 6,864
  4. USD 2,826

Answer: B

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