Find the Number of Eurodollar Futures Each Having a Delta

question 20

Multiple Choice

Find the number of Eurodollar futures each having a delta of -$25 that would delta-hedge a portfolio of a long position in swaps with a delta of $5,000 and a short position in a put option with a delta of -$2,300.

• A)long 292 contracts
• B)short 108 contracts
• C)short 292 contracts
• D)long 200 contracts
• E)long 108 contracts

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Definitions:

Annum

A Latin word that means "year," often used to denote a period of time equal to one calendar year.

Repaid

The act of paying back money that was borrowed.

Interest Rate

The portion of borrowed funds or capital utilized that incurs a cost, traditionally mentioned as a percentage for each year.

Loan

A financial agreement where a lender provides funds to a borrower, who agrees to repay the amount with additional interest over a defined period.