NO.PZ201601050100002001
问题如下：
Determine the appropriate number of futures contracts that the CFO should
buy to equitize the excess cash position.
选项：
解释：
The Lushland 100 Index futures contract value is calculated as the quoted
futures price multiplied by the designated contract multiplier:
F=1247 × LLD 200 = LLD 249,400
The target beta is the index beta, which equals 1.00. The number of Lushland
100 Index futures contracts that the Sanctuary must buy to equitize its excess
cash position is calculated as follows:
Therefore, the CFO should buy four Lushland 100 Index futures contracts to
equitize the excess cash position.
中文解析：
本题考察的是cash equitization的计算。本质也是使用估值期货合约调节组合的β。只是现在需要调整的头寸直接是现金，其β=0，即βs=0。然后将βs=0代入公式：
得到：
后，代入数字计算即可。
- 为什么在用future去manage equity risk时候，future value=price*multiplier？
- 在用future去manage iinterest rate risk 时候，future value=price/100*contract size?
