首页
编程语言
数据库
网络开发
Algorithm算法
移动开发
系统相关
金融统计
人工智能
其他
首页
>
> 详细
辅导 FINC6010 Derivative Securities Assignment 2024辅导 Processing
1 FINC6010 Derivative Securities Assignment 2024 This assignment is designed to help USYD students to study and analyze real-life derivatives trading and to prepare for their future trading-based job interviews and careers in the financial industry. Students with a strong motive to self-study a wide range of derivatives contracts will benefit from working on the assignment and its related materials. Due time for submitting the assignment report is Week 11, May 6, 23:59. The deadline cannot be deferred further. If you or your team want to ask for special consideration, please contact the student center for formal approvals. Upload your assignment work in Word format (.docx) or pdf format (.pdf) from “Assignments” tag on Canvas. CME Group is the world’s leading derivatives marketplace. The group has four exchanges, CME (Chicago Mercantile Exchange, established in 1848), CBOT (Chicago Board of Trade), NYMEX (New York Mercantile Exchange) and COMEX (The Commodity Exchange). These four exchanges offer a wide range of trading benchmarks for all major asset classes. CME Group’s website (https://www.cmegroup.com/) provides comprehensive information on derivatives trading and can be used as the major information source of this assignment. Student teams from University of Sydney’s FINC6010 course are going to investigate derivative securities trading using the trading simulator provided by CME. The simulator can be accessed after registration (free) and login (see the following link). Initially, each trading team will have $100,000 to trade but you do not need use all the amount. https://www.cmegroup.com/trading_tools/simulator.html2 The investigation report should be in a Questions/Answers format (you don’t need a cover page, executive summary, introduction etc.), answering the questions listed below in sequence. The 10-page report should include everything the student team wants to report. The submitted report should not be more than 10 pages. “Everything” means student traders should not send an enquiry email, asking whether certain items are included in the 10-page limit. The answer is always - yes included. Please provide some screenshots at the end of your report to show your actual trading practice. Reports without any trading evidence will incur 5 marks penalty. Student(s) sending in emails, asking whether an item is included in the 10-page limit, will incur 3 marks penalty. You or your team do not need send group formation information by emails or register group information on canvas. You can form. a group with students in different tutorial classes. One-member groups are fine. Groups should have no more than 6 members. Student(s) sending in emails, asking whether they can form. groups across tutorial classes, will incur 3 marks penalty. The report does not need a separate cover page. Put student IDs and student names of your team on the first page of the report. For each team, only submit one document and once. Please put “(submitter)” after the submitter’s name. For example: Green Soros (submitter), SID 123456; Walsh Buffett, SID 234567; Jack Rogers, SID 345678. Example for one-person team: Joe Soros (submitter), SID 987764. Make sure your SID is correct in your report. Incorrect SID will significantly delay your mark release. The report can use charts, tables, calculations, screenshots, or references (citesources) for explanation purpose. There is no font size or line spacing constraints if others can read your report. Try to summarize the information and write the report within the 10-page limit. Marks: 1 mark for question 2; 2 marks for question 1, 3; 3 marks each for questions 4, 5, 6, 9; and 4 marks for question 7, 8 (25 marks in total). Login and open the CME simulator using your practice account. The questions are as follows. 1. After several rate hikes in the post-pandemic period, looking ahead to 2024, the U.S. Federal Reserve (Fed) and the market both expect that the US policy interest rate will gradually peak and then fall. In September 2023, most Fed officials expect the policy rate to be 5.6% in 2023 and 5.1% in 2024, suggesting rate cuts in 2024. The resulting risk management needs are significant for participants to CME Group. In your trading simulator, click on “Interest Rate” tag and these are interest rate derivatives. Investigate and report the price quotation method of the 3-month SOFR contracts. How to use the 3-month SOFR contracts to hedge against a prospective decreasing interest rate? 2. Look at the main chart of your trading simulator. Click on “Equity Index” tag and these are equity index derivatives. As a U.S. mutual fund manager, you are currently holding a Japanese stock portfolio, which equity index derivatives positions can be used for hedging purpose and why? 3. Click on “Equity Index” tag and you can find E-mini Russell 2000. What does “E-mini” mean in E-mini Russell 2000? Examine the available contracts for E-mini Russell 2000. They have the contract codes such as RTYH4, RTYM4, RTYU4. Your 3task now is to decipher these codes. Please explain the meaning of (or rules to construct) contract codes for E-mini Russell 2000. What will be the available contracts for E-mini Russell 2000 in year 2028 and what will be their contract codes? 4. The trading desk manager wants you to long two EMDM4 futures contracts with a market order. The manager does not tell you the underlying asset. Please report what is the underlying asset for EMDM4 contract. Provide screenshot(s) to show how you conduct the transaction to establish the long position. Hold your position for at least 1 trading day. Then, try to liquidate your position with profit. It may take some time. Provide screenshot(s) to show how you did it. If your screenshots are too large, then use your computer skill to modify them to fit in your report. 5. You can manage risk in the precious metals markets with CME Group Metals futures and options, getting more liquidity, access, and price transparency for trading Gold, Silver, Platinum, and Palladium on CME platform. Click on “Metal” tag and these are metal derivatives. Use trading simulator chart to compare futures prices of Gold and Platinum, both with October 2024 delivery. Present your comparison in one chart. You may use 3-month (3m) or 6-month (6m) time windows. And summarize the price performance of Gold and Platinum in your chart and communicate the key findings from comparison to your trading desk manager. You need figure out the “key findings” by yourself. 6. Suppose you work for a Japanese Jewelry company. You need to import Gold overseas every year. The derivatives (both futures and options) of Gold are quoted in U.S. dollars (U.S. dollars and cents per troy ounce) on CME platform. Thus, foreign exchange exposure is also a key concern for your company. Click on “FX” tag and these are foreign exchange derivatives. Go to “Japanese Yen FX” panel and 4look at the quoted price. How is Japanese Yen quoted? If the quoted price is 0.006689, what does it mean? Now check the option series (Select “MONTHLY OPTIONS” at the upper right corner) on futures contract 6JU4. Find which call and put options are closest to be at-the-money and explain how you figure out the answer (provide screenshots). 7. Implement a trading strategy by buying one put at a lower strike price, writing two puts with a higher strike price, and buying one put with an even higher strike price on the RTYM4 futures contracts. All puts have the same expiration date, and the strike prices are equidistant (e.g., buying one put with strike price K1 =10, writing two puts with strike price K2 =20, and buying one put with strike price K3 =30). You need to open and close (within 10 trading days) the long and short positions in put options simultaneously (a short time lag is allowed). Monitor and record the daily profit/loss from this trading strategy and taking screenshots of your positions’ profit/loss. Identify the underlying asset, strike prices, maturity date, and transaction time (open and close time) of option contracts. To construct this strategy, how much do you need to pay (or receive) initially? Under what circumstances do you make a profit from this strategy and why? 8. You have a bullish outlook on the price of corn till September 2024 due to the food crisis. You decide to use a derivative strategy with two call options on futures contract ZCU4 (have the same maturity date but different strike prices) to capitalize on this bullish view. Your strategy should minimize the upfront payment. Explain the construction process of your strategy with screenshots. Calculate the breakeven corn price(s) at expiration. Determine the maximum profit and maximum loss for this strategy. Then, try to liquidate your position without making any loss. It may take some time. Provide screenshot(s) to show how you did it. If your screenshots 5are too large, then use your computer skill to modify them to fit in your report. 9. Energy markets began to tighten in 2021 because of a variety of factors, including the extraordinarily rapid economic rebound following the pandemic. But the situation escalated dramatically into a full-blown global energy crisis following Russia’s invasion of Ukraine in February 2022. Please go to “Energy” tag and these are energy derivatives available to trade on CME platform. Your manager asks you to construct an option straddle strategy to benefit from high volatility of energy price. The manager tells you the underlying asset is WTI Crude Oil futures contract with delivery in June 2024, but he does not find the contract code. What is the contract code for the underlying asset? Explain the construction process of your strategy with screenshots. Calculate the breakeven oil price(s) at expiration. Then, try to liquidate your position without making any loss. It may take some time. Provide screenshot(s) to show how you did it. If your screenshots are too large, then use your computer skill to modify them to fit in your report. 6
联系我们
QQ:99515681
邮箱:99515681@qq.com
工作时间:8:00-21:00
微信:codinghelp
热点文章
更多
program编程讲解 、sql编程语言...
2024-10-08
sehs4517讲解 、java/c++编程设...
2024-10-08
辅导 java编程、讲解 python/c...
2024-10-07
讲解 program、辅导 python/ja...
2024-10-07
ma2552讲解 、辅导 matlab设计...
2024-10-07
fit5147辅导 、讲解 css/java编...
2024-10-07
讲解 c++程序、辅导 python/ja...
2024-10-07
讲解 bism7202 information sy...
2024-10-07
讲解 desc9169: daylight in b...
2024-10-07
辅导 construction technology...
2024-10-07
讲解 s322 assignment 1 – fa...
2024-10-07
辅导 assessment 2: fully-dev...
2024-10-07
讲解 fite7410 financial frau...
2024-10-07
讲解 me 588, dynamics and vi...
2024-10-07
讲解 ccc8013 the process of ...
2024-10-07
讲解 apam 2417: contemporary...
2024-10-07
辅导 stats 2da3 fall 2024 as...
2024-10-07
辅导 econ 372 intermediate m...
2024-10-07
辅导 af6036_ld6077 risk in f...
2024-10-07
辅导 stat 3201: practice mid...
2024-10-07
热点标签
mktg2509
csci 2600
38170
lng302
csse3010
phas3226
77938
arch1162
engn4536/engn6536
acx5903
comp151101
phl245
cse12
comp9312
stat3016/6016
phas0038
comp2140
6qqmb312
xjco3011
rest0005
ematm0051
5qqmn219
lubs5062m
eee8155
cege0100
eap033
artd1109
mat246
etc3430
ecmm462
mis102
inft6800
ddes9903
comp6521
comp9517
comp3331/9331
comp4337
comp6008
comp9414
bu.231.790.81
man00150m
csb352h
math1041
eengm4100
isys1002
08
6057cem
mktg3504
mthm036
mtrx1701
mth3241
eeee3086
cmp-7038b
cmp-7000a
ints4010
econ2151
infs5710
fins5516
fin3309
fins5510
gsoe9340
math2007
math2036
soee5010
mark3088
infs3605
elec9714
comp2271
ma214
comp2211
infs3604
600426
sit254
acct3091
bbt405
msin0116
com107/com113
mark5826
sit120
comp9021
eco2101
eeen40700
cs253
ece3114
ecmm447
chns3000
math377
itd102
comp9444
comp(2041|9044)
econ0060
econ7230
mgt001371
ecs-323
cs6250
mgdi60012
mdia2012
comm221001
comm5000
ma1008
engl642
econ241
com333
math367
mis201
nbs-7041x
meek16104
econ2003
comm1190
mbas902
comp-1027
dpst1091
comp7315
eppd1033
m06
ee3025
msci231
bb113/bbs1063
fc709
comp3425
comp9417
econ42915
cb9101
math1102e
chme0017
fc307
mkt60104
5522usst
litr1-uc6201.200
ee1102
cosc2803
math39512
omp9727
int2067/int5051
bsb151
mgt253
fc021
babs2202
mis2002s
phya21
18-213
cege0012
mdia1002
math38032
mech5125
07
cisc102
mgx3110
cs240
11175
fin3020s
eco3420
ictten622
comp9727
cpt111
de114102d
mgm320h5s
bafi1019
math21112
efim20036
mn-3503
fins5568
110.807
bcpm000028
info6030
bma0092
bcpm0054
math20212
ce335
cs365
cenv6141
ftec5580
math2010
ec3450
comm1170
ecmt1010
csci-ua.0480-003
econ12-200
ib3960
ectb60h3f
cs247—assignment
tk3163
ics3u
ib3j80
comp20008
comp9334
eppd1063
acct2343
cct109
isys1055/3412
math350-real
math2014
eec180
stat141b
econ2101
msinm014/msing014/msing014b
fit2004
comp643
bu1002
cm2030
联系我们
- QQ: 99515681 微信:codinghelp
© 2024
www.7daixie.com
站长地图
程序辅导网!