w***r
发帖数: 66 | 1 Q1.
Question data:
Portfolio
Market, Investment
S&P 500, $50,000
WHEAT, $250,000
Forecasts
Expected 1 day return, Expected 1 day volatility
0.25%, 2%
0.1%, 3%
FORECAST correlation between S&P 500 and wheat is 20%
Questions:
A1. Calculate the portfolio 1 day expected return (both in percentage terms
and in dollars terms
(show working))
A2. Calculate the portfolio 1 day volatility (both in percentage terms and
in dollars terms (show
working)) – hint use variance-covariance method
A3. Calculate the portfolio 1 day 95th percentile VaR (both in percentage
terms and in dollar
terms (show working)) – hint use variance – covariance method
A4. You need to explain in a couple of lines (less than 30 words) what the
term ‘VaR’ refers to, to a client whose level of maths is basic. Please
provide such an explanation.
Q2:
B1.Futures
Calculate the fair value (show working) of a stock-index future to be
delivered in 6 months using:
1. Current price: USD 200
2. Annualised 6 month interest rate: 5%
3. Dividend yield :0
B2. Options
You believe that the S&P 500 will rally by 10% over the next 6 months, give
2 pros and 1 con of purchasing an option rather than purchasing an S&P 500
futures contract.
B3. Managed Futures
Give 3 reasons why an investor would invest in managed futures.
Q3:
Given a time series, find all the nearest observations to midnight.
Consider a simple time-series data-structure which represents time-ordered
market price data with a simple array that pairs date and price observations
. The aim is to write a function that can be used to align the data in any
such time-series to a set of user-supplied observations at midnight. This
alignment should simply select the nearest price-observation in the time-
series that is before, or at the same time as the date being fitted to. If
there is no observation, a NaN
or –ve constant should be output. For example:
Time 2.4 5 5.5 5.7
Price 104.2 109.2 112.2 114
For this time series, the values fitted to the daily time-series [1,2,3,4,5,
7] should be
Time 1 2 3 4 5 7
Price NaN NaN 104.2 104.2 109.2 114
The time representation here is in number of days. Assume that the whole
time-series should be moved to daily in one pass. Implement the solution in
any language of your choice (matlab, C, C++ or java preferred). There is no
need to design data types; feel free to use built-in array, or vector types
and any time representation you wish for the time series. Also, assum the
presence of standard libraries e.g. weekday for matlab, java.util.Calendar
for java or in C, and do not worry about daylight savings or
localization for dates. Do not use built in time-series alignment functions
such timeseries/synchronize in matlab. | A**u
发帖数: 2458 | 2 多谢
什么职位
确的就是这种题目
【在 w***r 的大作中提到】
: Q1.
: Question data:
: Portfolio
: Market, Investment
: S&P 500, $50,000
: WHEAT, $250,000
: Forecasts
: Expected 1 day return, Expected 1 day volatility
: 0.25%, 2%
: 0.1%, 3%
| d********t
发帖数: 9628 | 3 many thanks!
【在 w***r 的大作中提到】
: Q1.
: Question data:
: Portfolio
: Market, Investment
: S&P 500, $50,000
: WHEAT, $250,000
: Forecasts
: Expected 1 day return, Expected 1 day volatility
: 0.25%, 2%
: 0.1%, 3%
| w***r
发帖数: 66 | | j*****4
发帖数: 292 | 5 拿offer了？恭喜
【在 w***r 的大作中提到】
: Q1.
: Question data:
: Portfolio
: Market, Investment
: S&P 500, $50,000
: WHEAT, $250,000
: Forecasts
: Expected 1 day return, Expected 1 day volatility
: 0.25%, 2%
: 0.1%, 3%
| w***r
发帖数: 66 | | j*****4
发帖数: 292 | 7 记得去年你拿了个6个月的intern，没headcount吗？
【在 w***r 的大作中提到】
: 没啊 这不是来问大家 有些题咋做嘛
| w***r
发帖数: 66 | | w***r
发帖数: 66 | 9 有人知道第一大题怎么做吗 没什么概念 不知道怎么把correlation考虑进去 | w***r
发帖数: 66 | 10 有人知道
B2. Options
You believe that the S&P 500 will rally by 10% over the next 6 months, give
2 pros and 1 con of purchasing an option rather than purchasing an S&P 500
futures contract.
的答案么？ pros我只想到一点就是
when options are used, no matter how bad things get, the loss is limited to
the amount paid for the options. | R**T
发帖数: 784 | 11 多谢分享！
Var(A+B) = Var(A) + Var(B) + 2*Cov(A,B)
Cov(A,B) = correlation*sqrt(Var(A)*Var(B))
【在 w***r 的大作中提到】
: 有人知道第一大题怎么做吗 没什么概念 不知道怎么把correlation考虑进去
| R**T
发帖数: 784 | 12 我觉得option得花钱买，而futures是free to enter应该能算是一个con吧
还有一个pro我也没啥好想法，我觉得option更灵活一点，可以买不同strike的option
来的得到不同的回报/损失，有可能算是一个pro
不懂，瞎说说...
give
to
【在 w***r 的大作中提到】
: 有人知道
: B2. Options
: You believe that the S&P 500 will rally by 10% over the next 6 months, give
: 2 pros and 1 con of purchasing an option rather than purchasing an S&P 500
: futures contract.
: 的答案么？ pros我只想到一点就是
: when options are used, no matter how bad things get, the loss is limited to
: the amount paid for the options.
| j********7
发帖数: 32 | 13 Pros of Options
1. No margin calls.
2. Ability to take advantage of favorable price moves.
3. Limited risk. The maximum potential loss is known when the option is
purchased.
Cons of Options
1. Must pay a premium.
2. Because of the "price insurance" (premium) associated with options, they
may yield a lesser return
than other marketing alternatives in certain market situations.
3. If an option is exercised, a futures position, with all its financial and
contract obligations, is
assumed.
4. Option premiums may not move penny for penny with futures contract moves
"Delta" effect.
Pros of Futures Contracts
1. If price moves are favorable, the producer realizes the greatest return
with this marketing
alternative.
2. No premium charge is associated with futures market contracts.
Cons of Futures Contracts
1. Subject to margin calls.
2. Unable to take advantage of favorable price moves.
3. Net price is subject to Basis change. |
|
