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【FRM每日一题】一级:金融市场&估值

【FRM每日一题】一级:金融市场&估值

备考FRM一级  |  2015-12-14

  IF you own a security with a 2-year key rate exposure of $4.80, and you would like to hedge your position with a security that has a corresponding 2-year key rate exposure of 0.67 per $100 of face value. For hedging the 2-year exposure,what amount of face value would be used?

  A.$478

  B.$239

  C.$716

  D.$670

  Answer: C

  0.67/100×F = $4.80→F = $716.4

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