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학습질의응답홈>국제자격증>FRM>게시판>학습질의응답
| 제목 | 김종곤 강사님 FRM part 1 interest rate futures | 등록일 | 2017-08-08 |
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안녕하세요 강사님, 아래 문제에 관한 해설에서 30× $25 × 10 = $7,500이라고 하였는데 market price 0.3의 차이를 equation에서 30이라고 하였는지 잘 이해가 되지 않습니다. 설명해 주시면 감사하겠습니다. 항상 감사드립니다. You are pricing Eurodollar futures contracts based on your view The Fed will raise rates only once in 2017. You know that LIBOR does track the fed funds rate with some basis but you are comfortable with that risk. You enter a long position in 10 futures contracts currently priced at $99.45 and the price changes to $99.75. Which of the following amounts is closest to the profit or loss from this position? $300 $3,000 $7,500 $750 (해설) Eurodollar contracts are super?easy to price and that is why they were so widely adopted. Each contract penny change in price is worth $25. In this example the market trades higher by 0.30, so profit is 30 × $25 × 10 = $7,500. |
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