Finance > EXAM > University of Illinois, ChicagoFIN 494exam prepared(3) (All)

University of Illinois, ChicagoFIN 494exam prepared(3)

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Question 1 1. The S&P 500 futures has a multiplier 250. What is the delta of a long position in ten futures contracts? +1 +250 +2,500 +25,000 10 points Question 2 1. S&P 500 is now at 2,000. ... Ignore interest rate (assume everything is given in PV terms). Suppose you short a $20M portfolio with a beta of 0.8. Find the delta of your portfolio. 8,000 10,000 -8,000 -10,000 10 points -0.8*(20,000,000/2,000)= -8000Question 3 1. A bank is short a futures contract on 1,000,000 Euro with F= $1.5 million maturing in one year. The value of this position may decline if: The Euro appreciates against the dollar The Euro depreciates against the dollar The bank faces zero risk because the futures prices is locked in 10 points The value of a short position in a futures contract will decline if the price of the underlying asset rises. In the case of a currency futures contract, the value of a short position will decline if the exchange rate of th underlying currency rises. In this case, if the $/€ exchange rate rises, the value of a short position will decline. If the $/€ exchange rate rises, it means that the € has appreciated because each € can buy a higher amount of $. Therefore, the correct option is "The Euro appreciates against the dollar" [Show More]

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