衍生产品投资(一)及答案解析.doc

1、衍生产品投资(一)及答案解析(总分：48.00，做题时间：90 分钟)一、B单项选择/B(总题数：48，分数：48.00)1.Consider a U. S. commercial bank that takes in one-year certificates of deposit(CDs) in its Japan branch, denominated in Japanese yen, to fund three-year, fixed-rate loans the bank is making in the U. S. denominated in U. S. dollars. Why

2、 would this bank wish to enter into a currency swap? The bank faces the risk that the Japanese yen: A. increases in value against the U. S. dollar and the risk that interest rates decrease in Japan. B. decreases in value against the U. S. dollar and the risk that interest rates increase in Japan. C.

3、 increases in value against the U. S. dollar and the risk that interest rates increase in Japan.（分数：1.00）A.B.C.D.2.Which of the following describe(s) a hedger? A. An oil refiner who has a large inventory of unleaded gasoline that will not be sold for 3 months takes a SHORT position in unleaded gasol

4、ine futures contracts. B. An orange grower will harvest oranges and process them into orange juice at the end of next month. He sells (takes a SHORT position in) orange juice futures today. C. All of the above describe hedgers.（分数：1.00）A.B.C.D.3.Macklin Metals has received 80 million pounds sterling

5、 The company plans to spend $120 million on a project in the United States in 90 days. Macklin inters into a cash settlement currency forward to exchange the pounds for U. S. dollars at a rate of $1.50 per pound in 90 days. If the exchange rate is $1.61 per pound at the settlement date, the cash se

6、ttlement Macklin will pay or receive is closest to: A. $5.5 million payment. B. $8.8 million payment. C. $5.5 million receipt.（分数：1.00）A.B.C.D.4.A private agreement between two parties to exchange a series of future cash flows, with at least one of the two series of cash flows determined by a later

7、outcome, is best characterized as a (n) : A. swap. B. futures contract. C. over-the-counter contingent claim.（分数：1.00）A.B.C.D.5.The price of a 90-day forward contract on a 90-day Treasury bill will be: A. above the current price of a 90-day T-bill. B. above the current price of a 180-day T-bill. C.

8、either above or below the current price of a 180-day T-bill.（分数：1.00）A.B.C.D.6.Consider a call option expiring in 110 days on a non-dividend-paying stock trading at 27 when the risk-free rate is 6%. The lower bound for a call option with an exercise price of 25 is: A. $2.00. B. $2.44. C. $1.97.（分数：1

9、00）A.B.C.D.7.Which of the following characteristics about swaps is least accurate? Swaps: A. are custom instruments and involve counterparty risk. B. are highly regulated. C. have no active secondary market.（分数：1.00）A.B.C.D.8.Which of the following statements about closing a futures position is lea

10、st accurate? A. Few futures positions are settled by delivery of cash or assets. B. Except for exchange for physicals (EFP) transactions, futures contracts must be closed on the exchange floor. C. Closing a position through delivery refers exclusively to the physical delivery of goods.（分数：1.00）A.B.C

11、D.9.Which of the following is NOT considered a reason for using the swaps market? To: A. reduce transactions costs and obtain cheaper financing. B. exploit market inefficiencies. C. maintain privacy.（分数：1.00）A.B.C.D.10.Financial derivatives contribute to market completeness by allowing traders to d

12、o all of the following EXCEPT : A. increase market efficiency through the use of arbitrage. B. hedge positions in other assets and engage in high risk speculation. C. narrow the amount of trading opportunities to a more manageable range.（分数：1.00）A.B.C.D.11.A company is planning on setting up a new f

13、inancing arrangement where $100 million will be borrowed in order to finance a major expansion into a foreign market. The CFO is concerned that there may be an interest rate decline within the next two months. There is significant concern among the executives of the company that any delay would seri

14、ously hamper the companys chances of gaining a foothold in the new market and feel that it is vital to proceed without delay. The CFO obtains the following quotes from a dealer for an FRA: Dealer Quotes60-Day LIBOR=0.045090-Day LIBOR=0.0440180-Day LIBOR=0.1420The contract covers a notional principal

15、 of $100 million. The company goes short on the FRA and 90 days later when the contract expires, the 90-day LIBOR rate is 4. 50 percent. What does the company collect from, or pay to, the dealer? A. The company pays $24722. B. The company pays $25000. C. The company pays $146699.（分数：1.00）A.B.C.D.12.

16、In October, James Knight owned stock in Valerio, Inc. , that was valued at $45 per share. At that time, Knight sold a call option on Valerio with an exercise price of $60 for $1.45. In December, at expiration, the stock is trading at $32. What is Knights profit (or loss) from his covered call strate

17、gy? Knight: A. lost $11.55. B. lost $13.00. C. gained $1.45.（分数：1.00）A.B.C.D.13.Assume the following information relating to a swap agreement.The swap covers a five-year period and involves annual payments on a $1000000 notional principal amount.Party A is the pay-fixed counterparty and agrees to pa

18、y a fixed rate of 9% to Party B. In return, Party B, the receive-fixed counterparty, agrees to pay a floating rate of LIBOR to Party A.Party A pays: A. $87500 each year to Party B. B. $90000 each year to Party B. C. $2500 each year to Party B.（分数：1.00）A.B.C.D.14.A June put option has a premium of $1

19、50. At expiration, the breakeven value of the underlying asset is $36.50. The strike price of the option is : A. $1.50. B. $36.50. C. $38.00.（分数：1.00）A.B.C.D.15.Financial derivatives contribute to market completeness because: A. the market with financial derivatives allows traders to more exactly s

20、hape the risk return characteristics of their portfolios. B. it is a market in which the owner of an option has the right to purchase the underlying good at a specific price, and this right lasts until a specific date. C. it is a market in which any and all identifiable payoffs can be obtained by tr

21、ading the securities available in the market.（分数：1.00）A.B.C.D.16.Assume that you are analyzing a plain vanilla interest rate swap with the following characteristics :Counterparty X Counterparty Ypay fixed rate 6% pay floating rate LIBOR + 0.5%receive floating rate LIBOR +0.5% receive fixed rate 6%Sw

22、ap tenor: 10 yearsNational principal: $1000000LIBOR : 4.75%Which of the following is the first floating rate payment made by Counterparty Y? A. $60000. B. $47500. C. $52500.（分数：1.00）A.B.C.D.17.The following information relates to an investors positioning the futures market: Initial futures price per

23、 contract on Day 0$100Initial margin requirement per contract$5Maintemance rnmargin requirement $3Number of contracts held by the investor$10Position taken by the investor LongSettlement price per contract on Day 1$97If the investor deposited enough funds to just meet the initial margin requirement,

24、 the amount of funds that the investor would be required to deposit on Day 2 is closest to: A. $0. B. $10. C. $25.（分数：1.00）A.B.C.D.18.There are two different options available with ITM Corporation common stock as the underlying asset. They each have the same maturity date, a strike price of $40.00,

25、and are identical in all other ways except, one is a European call, and the other is an American call. ITM stock has a market value of $43.75. The American call option is selling for $4.90. For the European call, which of the following option premiums is most likely? A. $4.90. B. $5.25. C. $4.25.（分数

26、1.00）A.B.C.D.19.An investor writes a covered call on a $40 stock with an exercise price of $50 for a premium of $2. The investors maximum: A. gain will be $12. B. gain will be $2. C. loss will be $40.（分数：1.00）A.B.C.D.20.The process of arbitrage does all of the following EXCEPT: A. promote pricing e

27、fficiency and produce riskless profits. B. result in the correction of mispriced assets. C. insure that risk-adjusted expected returns are equal.（分数：1.00）A.B.C.D.21.Do options and futures, respectively, most directly reveal the prices or the volatility of their underlying assets?Options FuturesA. Pr

28、ices PricesB. Volatility VolatilityC. Volatility Prices A. B. C. （分数：1.00）A.B.C.D.22.Don Weaver purchased a call option on Dominic InC. with an exercise price of $20. Weaver paid $3.50 for the option, which is an American option that expires in 90 days. Dominic does not pay any dividend, and the sto

29、ck is currently trading at $22 per share. The moneyness and intrinsic value of this option could be best described as:Moneyness Intrinsic ValueA. in-the-money $1.50B. in-the-money $2.00C. out-of-the-money $1.50 A. B. C. （分数：1.00）A.B.C.D.23.A forward contract that must be settled by a sale of an asse

30、t by one party to the other party is termed a : A. physicals-only contract. B. deliverable forward contract. C. take-and-pay contract.（分数：1.00）A.B.C.D.24.If the risk-free rate of interest is 5 percent and an investor enters into a transaction that has no risk, the rate of return the investor should

31、earn in the absence of arbitrage opportunities is A. 0%. B. between 0% and 5%. C. 5%.（分数：1.00）A.B.C.D.25.Joe Savvy wishes to speculate in March wheat futures by selling one contract Prior to selling the one contract, Joe had no position in wheat futures at all. He sells to Billy Bland who already ha

32、d a short position in the March wheat futures contract. His sale of one futures contract will produce : A. one contract of volume. B. one contract of open interest. C. both A and B.（分数：1.00）A.B.C.D.26.The short in a deliverable forward contract: A. makes a cash payment to the long at settlement. B.

33、receives a payment at contract initiation. C. is obligated to deliver the specified asset.（分数：1.00）A.B.C.D.27.Which of the following statements about forward and future contracts is FALSE? A. A future requires the contract purchaser to receive delivery of the good at a specified time. B. A predeterm

34、ined price to be paid for a good is a necessary requirement in the terms of a forward contract. C. The primary difference between forwards and futures is that only futures are considered financial derivatives.（分数：1.00）A.B.C.D.28.Which of the following descriptions of how option payoffs are determine

35、d is most accurate? A. The long position in an interest rate call option receives cash at expiration equal to Max0, (reference rate-strike rate) notional principal amount. B. The payoff on a stock index option is the difference between the index level at expiration and the exercise price. C. Payoffs

36、 on futures options can be determined without knowing the spot price of the underlying commodity.（分数：1.00）A.B.C.D.29.The profit/loss diagram for a covered call strategy looks like what other type of profit/loss diagram A. Short call. B. Long call. C. Short put.（分数：1.00）A.B.C.D.30.Lisa Cox feels that

37、 the price of corn is going to rise in the future and wants to lock in a price using either a futures or forward contract. She is unfamiliar with the differences between the two instruments and asks her associate, Matt Kudrow, to explain the differences. Which of Kudrows comments is TRUE? In futures

38、 markets, the role of the clearinghouse is to: A. prevent arbitrage and enforce federal regulations. B. act as guarantor to both sides of a futures trade. C. reduce transaction costs by making contract prices public.（分数：1.00）A.B.C.D.31.Consider a 1-year quarterly-pay $1000000 equity swap based on a

39、fixed rate and an index return. The current fixed rate is 3.0 percent and the index is at 840. Below are the index level at each of the four settlement dates on the swap. Q1 Q2 Q3 Q4Index 881 850 892.5 900At the first settlement date, the equity-return payer in the swap will pay: A. $4638. B. $56310

40、 C. $41310.（分数：1.00）A.B.C.D.32.A trader has a short position in a wheat contract. The initial margin is $2000. The maintenance margin is $1500. There are 5000 bushels in each wheat contract. On August 10, the price is $1.89 per bushel What is the price at which the trader will receive a maintenance

41、 margin call? A. $1.99. B. $1.79. C. $1.69.（分数：1.00）A.B.C.D.33.When calculating the settlement payment on a long position in a London Interbank Offered Rate (LIBOR) -based forward rate agreement, the denominator is best described as : A. the interest differential between a loan made at the contract

42、rate and one made at the market rate at contract expiration. B. a discount factor based on LIBOR at settlement. C. a discount factor based on the contract LIBOR rate.（分数：1.00）A.B.C.D.34.Linda Reynolds pays $2.45 to buy a call option with a strike price of $42. The stock price at which Reynolds earns

43、 $3.00 from her call option position is : A. $47.45. B. $3.00. C. $2.45.（分数：1.00）A.B.C.D.35.A put on Stock X with a strike price of $40 is priced at $3.00 per share ; while a call with a strike price of $40 is priced at $4.50. What is the maximum per share loss to the writer of the uncovered put and

44、 the maximum per share gain to the writer of the uncovered call?the maximum per share loss the maximum per share gainA. $37.00 $4.50B. $37.00 $37.00C. $4.50 $4.50 A. B. C. （分数：1.00）A.B.C.D.36.A dealer in the forward contract market: A. can not be a bank. B. may enter into a contract with another dea

45、ler. C. gets a small payment for each contract at initiation.（分数：1.00）A.B.C.D.37.The settlement price of a deliverable forward contract at 6 percent on a $1 million 90-day Treasury bill would be: A. $940000. B. $6000. C. $985000.（分数：1.00）A.B.C.D.38.Consider a 1-year quarterly-pay $1000000 equity swa

46、p based on 90-day London Interbank Offered Rate (LIBOR) and an index return. Current LIBOR is 3.0 percent and the index is at 840. Below are the index level and LIBOR at each of the four settlement dates on the swap. Q1 Q2 Q3 Q4LIBOR 3.2% 3.0% 3.4% 3.9%Index 881 850 892.5 900At the final settlement

47、date, the equity-return payer will: A. pay $97. B. pay $16903. C. receive $97.（分数：1.00）A.B.C.D.39.When using delivery as a method to close a futures contract, completion is usually achieved: A. when the trader transacts in the futures market to bring his or her net position in particular futures con

48、tract back to zero. B. when two traders agree to a simultaneous exchange of a cash commodity and futures contracts based on that cash commodity. C. through the physical delivery of a particular good or by cash settlement.（分数：1.00）A.B.C.D.40.The option position illustrated in the following profit/los

49、s diagram depicts a:（分数：1.00）A.B.C.D.41.An investor buys a call option with a $25 exercise price priced at $4 and writes a call option with a $40 exercise price priced at $2.50. If the Price of the stock increases to $50 at expiration and the options are exercised on the expiration date, the net profit at expiration (ignor