Topic Test - Derivatives - Watanabe

CFA Level III Derivatives
#1

The duration of cash is specifically stated to be 0.25, which is utilized in the calculation for the bonds future contact. Why isn’t it utilized for calculating the future equity contracts (the conventional beta of zero for cash is used)?

#2

I vaguely remember and explanation of the equity is coming from Synthetic cash and not actual cash, while the fixed income is going into, or coming from, can’t remember if you were buying or selling, actual cash.

#3

Thanks! That helps

#4

Thanks! That helps