Futures contracts -- should you round?

CFA Level III
#1

Hello, if your answer for a futures calculation is (say) 100.2 contracts, should you say ‘needs to buy 100 contracts’ or leave it unrounded?

Thanks!

#2

round, you can’t buy/sell a fraction of a contract

#3

Yeap you should round like what Jmachine4 says because you can’t buy/sell < 1 of a contract

#4

You must ROUND on the exam. You must also say whether you are going to BUY or SELL CONTRACTS. Rounding is another reason as to why hedging is an imperfect science, but it is what it is. The need to have standardized contracts on exchanges forces you to round.

If your answer is 63.34 and you leave it as that then you could miss out on points. You would need to say that the manager should BUY 63 Contracts. So round, describe trading action, and list what you are buying i.e. contracts.

#5

Let’s say you are converting 5 million dollars of equity exposure into bond exposure. If the question asks how many bond future contracts to buy (AND NOT EQUITY CONTRACTS TO SHORT) should you just use 5 million as your exposure to hedge? Or are you supposed to calculate the equity futures contracts to short and then use the rounded # of contracts multiplied by the size of the contract to figure out how many bond futures contracts to buy (for example, if you were to round down the equity contracts your position would be less than 5 million).