问题
单项选择题
A portfolio manager is long an equity index contract at 995.6 with a notional value of $40 million. If the index is at 969.2 on the settlement date, the amount the manager must pay is closest to :
A．
| A. $1.09 million. |
B．
| B. $38.91 million. |
C．
| C. $1.06 million. |
答案
参考答案：C
解析：The actual index price is 2. 6517 percent below the contract price (969.2/995.6 -1 = - 2.6517% ). Since the long manager agreed to pay the higher price but could only sell at the lower price, she must settle in cash for 2.6517 percent of the $40 million notional amount, or about $1.06 million.