FMP Quiz 2

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FMP Quiz 2

Postby vandana.jain » Fri Oct 12, 2012 10:30 am

f all spot interest rates are increased by one basis point, a value of a portfolio of swaps will increase by $1,100.
How many Eurodollar futures contracts are needed to hedge the portfolio?
Choose one answer.
a. 22 Incorrect
b. 1,100 Incorrect
c. 44 Correct
d. 11 Incorrect

ans is 44 contract
can you please explain how it come...


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Posts: 356
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Re: FMP Quiz 2

Postby content.pristine » Sat Oct 13, 2012 2:54 pm

Hi Vandana,

A Eurodollar contract is highly standardized. It has a notional amount of $1M, and a maturity of 90 days. This makes each of one basis point =$25
Since we need $1100 per basis point, the number of contracts = 1100/25 = 44
Hope this helps!


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