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Which of the Following Strategies Replicates a Long Position in an FRA

Question 53

Multiple Choice

Which of the following strategies replicates a long position in an FRA?


A) long a long term Eurodollar time deposit and short a short-term Eurodollar time deposit
B) long a Eurodollar futures and short a Eurodollar option
C) long a Eurodollar option on a futures
D) short a long-term Treasury bond futures and short a short-term Treasury bond futures
E) long a receiver swaption

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