Question 1

The two components of risk in a commodities futures portfolio are:

Options :

A : Changes in the convenience yield and storage costs

B : Changes in spot prices and carrying costs, also called commodity lease rates

C : Changes in interest rates and spot prices

D : The risk from change in basis and interest rates

Answer: B

Question 2

Which of the following have a negative gamma:I. a long call positionII. a short put positionIII. a short call positionIV. a long put position

Options :

A : III and IV

B : I and IV

C : II and III

D : I and II

Answer: C

Question 3

Which of the following portfolios would require rebalancing for delta hedging at a greater frequency in order to maintain delta neutrality?

Options :

A : A portfolio with a low delta and high vega

B : A portfolio with a high gamma

C : A portfolio with a high delta and low gamma

D : A portfolio with a low gamma

Answer: B

Question 4

By market convention, which of the following currencies are not quoted in terms of 'direct quotes' versus the USD?

Options :

A : EUR

B : EUR

C : KWD

Answer: A

Question 5

What is the running yield on a 6% coupon bond selling at a clean price of $96?

Options :

A : 5.70%

B : 6.25%

C : 6.30%

D : 6.00%

Answer: B

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