Consider a swap to pay currency A fixed and receive currency B

Consider a swap to pay currency A fixed and receive currency B

Subject: Business    / Finance    

Question
Question 22 Question 28

    Consider a swap to pay currency A fixed and receive currency B fixed. What type of swap would be combined with this swap to produce a swap to produce a plain vanilla swap in currency B.
            

    pay currency B floating, receive currency A floating
            

    pay currency B fixed, receive currency A fixed
            

    pay currency B floating, receive currency A fixed
            

    pay currency B fixed, receive currency A floating

Question 26

    A party to a futures contract can liquidate the position by:

    I. Taking an offsetting position in the same contract.
    II. Waiting until the settlement date.
    III. Walking away from the futures contract.
            

    I
            

    I, III
            

    I, II, III
            

    I, II

    Find the optimal stock index futures hedge ratio if the portfolio is worth $2,400,000, the beta is 1.15 and the S&P 500 futures price is 450.70 with a multiplier of 250.
            

    6123.80
            

    24.5
            

    5325.05
            

    21.3

Question 24

    Determine the optimal hedge ratio for Treasury bonds worth $1,000,000 with a modified duration of 11.13, if the futures contract has a price of $90,000, a modified duration of 7.76.
            

    7.75
            

    11.11
            

    15.94
            

    1.43