简答题Suppose that the standard deviation of monthly changes in the price of commodity A is¥2. The standard deviation of monthly changes in a futures price for a contract on commodity B (which is similar to commodity A) is ¥3. The correlation between the futures price and the commodity price is 0.9. What hedge ratio should be used when hedging a one month exposure to the price of commodity A? A、0.60 B、0.67 C、1.45 D、0.90简答题The basis is defined as spot minus futures. A trader is hedging the sale of an asset with a short futures position. The basis increases unexpectedly. Which of the following is true? A、The hedger’s position improves. B、The hedger’s position worsens. C、The hedger’s position sometimes worsens and sometimes improves. D、The hedger’s position stays the same.简答题A company due to pay a certain amount of a foreign currency in the future decides to hedge with futures contracts. Which of the following best describes the advantage of hedging? A、It leads to a better exchange rate being paid B、It leads to a more predictable exchange rate being paid C、It caps the exchange rate that will be paid D、It provides a floor for the exchange rate that will be paid简答题Which of the following increases basis risk? A、A large difference between the futures prices when the hedge is put in place and when it is closed out B、Dissimilarity between the underlying asset of the futures contract and the hedger’s exposure C、A reduction in the time between the date when the futures contract is closed and its delivery month D、None of the above简答题On March 1 the price of a commodity is ¥1000 and the December futures price is ¥1,015. On November 1 the price is ¥980 and the December futures price is ¥981. A producer of the commodity entered into a December futures contracts on March 1 to hedge the sale of the commodity on November 1. It closed out its position on November 1. What is the effective price (after taking account of hedging) received by the company for the commodity? A、¥1,016 B、¥1,001 C、¥981 D、¥1,014