衍生产品投资(三)及答案解析.doc

1、衍生产品投资(三)及答案解析(总分：49.00，做题时间：90 分钟)一、单项选择(总题数：49，分数：49.00)1.Consider the graph below. （分数：1.00）A.the put is worth $3.B.the put is worth $103.C.the put is worth $97.2.Consider the following tour options on the same underlying instrument: Option 1 : September call, exercise price = $55. Option 2 : Sep

2、tember call, exercise price = $60. Option 3 : December put, exercise price = $75. Option 4 : December put, exercise price = $80. What is most likely the relationship among the values of these options? September calls December puts A. Option 1 Option 2 Option 3 Option 4 B. Option 1 Option 2 Option 4

3、Option 3 C. Option 2 Option 1 Option 4 Option 3（分数：1.00）A.B.C.3.The lower bound on European call option prices can be adjusted for cash flows of the underlying asset by :（分数：1.00）A.adding the present value of the expected dividend payments to the current asset price.B.subtracting the present value o

4、f the expected dividend payments from the exercise price.C.subtracting the present value of the expected dividend payments from the current asset price.4.For a futures trade:（分数：1.00）A.a single price is determined by supply and demand.B.the seller receives the bid price; the buyer pays the ask price

5、C.the purchase of the asset is at a negotiated price.5.Which of the following statements regarding forward contracts is FALSE?（分数：1.00）A.Dealers make the majority of their profits by anticipating price moves in the underlying asset.B.Dealers will enter into forward contracts with other dealers.C.En

6、d users of forwards most often have a business exposure to price risk from the asset covered by the contract.6.A plain vanilla interest rate swap is a contract where one party pays a:（分数：1.00）A.fixed interest rate and the counterparty pays a floating rate in a different currency.B.fixed interest rat

7、e and the counterparty pays a fixed rate, both in the same currency.C.fixed interest rate and the counterparty pays a floating rate, both in the same currency.7.An options investor sells one stock put option with the following characteristics: Type of option: put option on stock Underlying asset: 10

8、0 shares of Bank of America Stock Exercise price : $55 per share Premium : $2.44 per share Expiration date : October By taking a SHORT position in this put option, the investor has（分数：1.00）A.obligated herself to sell 100 shares of Bank of America stock and receive $5500 during the specified time per

9、iod (expiration date in October).B.purchased the right to decide whether to sell 100 shares of Bank of America stock and receive $5500 during the specified time period (expiration date in October).C.obligated herself to purchase 100 shares of Bank of America stock and pay $5500 during the specified

10、time period (expiration date in October).8.The process that ensures that two securities positions with identical future payoffs, regardless of future events, will have the same price is called:（分数：1.00）A.arbitrage.B.the law of one price.C.payoff parity.9.The value of an interest-rate call option at

11、expiration is zero or the:（分数：1.00）A.present value of, the market rate minus the exercise rate, adjusted for the period of the rate, times the principal amount.B.market rate minus the exercise rate, adjusted for the period of the rate, times the principal amount.C.present value of, the exercise rate

12、 minus the market rate, adjusted for the period of the rate, times the principal amount.10.A swap is best characterized as a（分数：1.00）A.series of forward contracts.B.derivative contract that has not gained widespread popularity.C.contract that is binding on only one of the parties to the transaction.

13、11.When a call option on a future is exercised, the buyer receives:（分数：1.00）A.a short position in the underlying future.B.an option to purchase the underlying future.C.a long position in the underlying future and a cash payment.12.Which of the following statements regarding a plain vanilla swap is F

14、ALSE?（分数：1.00）A.The notional principal amounts are exchanged at contract initiation and at the termination of the swap.B.Only a net payment is made on each settlement date.C.If interest rates decrease, the swap has a negative value to the fixed rate payer.13.Roger Hickstead owns 100 shares of Cole C

15、orporation stock with a current market value of $45 per share. Consensus stock price estimates from the leading industry analysts predict the price of Cole will fall to $35 per share in the next five months. What type of derivative strategy should Hiekstead employ if he is not willing to lose more t

16、han $10?（分数：1.00）A.Buy a put with a strike price of $37 and a premium of $2.B.Buy a covered call with a strike price of $37 and a premium of $2.C.Buy an uncovered call with a strike price of $37 and a premium of $2.14.Financial derivatives contribute to market completeness by allowing traders to do

17、all of the following EXCEPT :（分数：1.00）A.increase market efficiency through the use of arbitrage.B.narrow the amount of trading opportunities to a more manageable range.C.engage in high risk speculation.15.An options investor purchases one stock put option with the following characteristics: Type of

18、option: put option on Hock Underlying asset: 100 shares of WalMart Exercise price: $47.50 per share Premium : $2.00 per share Expiration date : October If the expiration-day price of WalMart stock were $5000 per share, the profit/loss for the LONG put option would be:（分数：1.00）A.- $2.00.B.$0.50.C.- $

19、0.50.16.The lower bound for an American call option is:（分数：1.00）A.Max (0, S-X).B.Max 0, S-X/(1 +RFR)TC.Max 0, X/(1 +RFR)T-S.17.Anthony Gleason owns a stock valued at $50 per share. Gleason buys a put option with a strike price of $50 for $3. At expiration of the put option, the stock is valued at $6

20、5 per share. The profit from Gleason“s portfolio insurance strategy is:（分数：1.00）A.$18.B.$3.C.$12.18.Why are payments NOT usually netted out in a currency swap?（分数：1.00）A.There are no payments in a currency swap except at initiation and maturity.B.The notional principal is not swapped at initiation.C

21、The payments are denominated in two different currencies.19.The most likely reason derivative markets have flourished is that（分数：1.00）A.derivatives are easy to understand and use.B.derivatives have relatively low transaction costs.C.the pricing of derivatives is relatively straightforward.20.Consid

22、er the graph below. （分数：1.00）A.she is $14 better off with the covered call than she would be with the stock alone.B.she is $4 worse off with the covered call than she would be with the stock alone.C.she is $4 better off with the covered call than she would be with the stock alone.21.The term (maturi

23、ty) of a forward rate agreement is 90 days and the underlying rate is 180 - day LIBOR. If 180-day LIBOR increases over the term (life) of the contract, which of the following best describes the descriptive notation for the contract and the party receiving payment at expiration, respectively? Descrip

24、tive notation Party receiving payment at expiration A. 3 6 Long B. 3 9 Long C. 3 6 Short（分数：1.00）A.B.C.22.What is the most likely effect of an increase in volatility on the price of a: Call option Put option A. Decrease Increase B. Decrease Decrease C. Increase Increase（分数：1.00）A.B.C.23.Which of the

25、 following most accurately describes a derivative security? A derivative:（分数：1.00）A.has a payoff based on another asset.B.always increase risk.C.has no expiration date.24.The following information relates to a futures market contract: Initial futures price on Day 0 $100 Initial margin requirement $5

26、 Maintemance rnargin requirement $3 Settlement price on Day 1 $103 Settlement price on Day 2 $ 96 Settlement price on Day 3 $98 If no funds are withdrawn and margin calls are met at the beginning of the next day, the ending balance on Day 3 for an investor with a short position of 10 contracts is cl

27、osest to:（分数：1.00）A.$30.B.$50.C.$100.25.If left open until expiration, the type of futures contract that is most likely settled in cash is（分数：1.00）A.Commodity.B.Eurodollar.C.Currency.26.Which of the following is a futures exchange member who can execute public orders?（分数：1.00）A.Scalper.B.Day trader.

28、C.Floor broker.27.Holding all other factors constant, an increase in yield volatility will cause the price of a (n) :（分数：1.00）A.callable bond to increase.B.puttable bond to incnease.C.Embedded call option to decrease.28.TDK commercial bank makes an adjustable rate mortgage for a big construction cus

29、tomer. Which of the following would be an appropriate position for the bank to hedge its risk with this loan? TDK should pay:（分数：1.00）A.fixed to a currency swap counterparty and receive variable.B.variable to an interest rate swap counterparty and receive fixed.C.variable to a currency swap counterp

30、arty and receive fixed.29.Consider the following information: On May 1 Party A trades on the futures exchange to buy one oats contract of 10000 bushels for delivery in September. Party B has complimentary requirements. The price is $2 per bushel. Assume that the contract closes on May 2 at 190 cents

31、 per bushel. Assume the initial margin was $3000 and the maintenance margin $2500. Assume further that on May 3, the price has dropped to $1.80 per bushel. The price at which a maintenance margin call will be received is equal to:（分数：1.00）A.$2500.B.$3000.C.$500.30.No Errors Printing has entered into

32、 a “plain-vanilla“ interest rate swap on $1000000 notional principal. No Errors receives a fixed rate of 5.5 percent on payments that occur at quarterly intervals. Platteville Investments, a swap broker, negotiates with another firm, Perfect Bid, to take the pay-fixed side of the swap. The floating

33、rate payment is based on LIBOR (currently at 6.0 percent). Because of the current interest rate environment, No Errors expects to pay a net amount at the next settlement date and has created a reserve to cover the cash outlay. At the time of the next payment ( due in exactly one quarter), the reserv

34、e balance is $1000. To fulfill its obligations under the swap, No Errors will need approximately how much additional cash?（分数：1.00）A.$250.B.$0.C.$667.31.An investor bought a 40 put on a stock trading at 43 for a premium of $1. What is the maximum gain on the put and the value of the put at expiratio

35、n if the stock price is $41 ? Maximum Gain on Put Value of the Put at Expiration A. $39 $0 B. $4O $2 C. unlimited $1（分数：1.00）A.B.C.32.An investor writes a July 20 call on a stock trading at 23 for premium of $4. The breakeven price on the trade and the maximum gain on the trade are, respectively: Br

36、eakeven Price Maximum Gain A. $24 $4 B. $24 $3 C. $27 unlimited（分数：1.00）A.B.C.33.Consider a stock put option with the following characteristics: Type of option: put option on stock Underlying asset: 100 shares of Compaq Exercise price : $32.50 per share Premium : $4.00 per share Expiration date : No

37、vember Expiration-day price of Compaq stock were $28.50 per share, which of the following would describe the expiration-day profit/loss for the investors in the Compaq put option?（分数：1.00）A.LONG = - $4.00; SHORT = $4.00.B.LONG = $4.00; SHORT = - $4.00.C.LONG = $0.00; SHORT = $0.00.34.One reason that

38、 criticism has been leveled at derivatives and derivatives markets is that:（分数：1.00）A.derivatives have too much default risk.B.markets for derivatives seldom function efficiently like a stock exchange.C.they are complex instruments and sometimes hard to understand.35.George Mote owns stock in IBM cu

39、rrently valued at $112 per share. Mote writes a call option on IBM with an exercise price of $120. The call option is sold for $1.80. At expiration, the price of IBM is $115. What is Mote“s profit (or loss) from his covered call strategy? Mote:（分数：1.00）A.gained $3.00.B.lost $1.80.C.gained $4.80.36.W

40、hich of the following statements regarding early termination of a forward contract is TRUE?（分数：1.00）A.There is no way to terminate a forward contract early.B.A party who enters into an offsetting contract to terminate has no risk.C.Early termination through an offsetting transaction with the origina

41、l counterparty eliminates default risk.37.Which of the following statements about moneyness is FALSE? When:（分数：1.00）A.S - X 0, a call option is in-the-money.B.S -X = 0, a call option is at-the-money.C.S - X 0, a put option is in-the-money.38.Which of the following statements regarding Eurodollar tim

42、e deposits is FALSE?（分数：1.00）A.Rates are quoted as an add-on yield and are based on a 360-day year.B.Sometimes the best rates are available in New York City.C.They are available in Switzerland.39.Call options on the stock of Verdant, Inc. , with a strike price of $45 are priced at $3.75. Put options

43、 with a strike price of $45 are priced at $3.00. Which of the following most accurately describes the potential payoffs for owners of these options ( assuming no underlying positions in Verdant)? Maximum loss Potential Maximum gain Potential A. Call writer Call buyer B. Put buyer Call writer C. Put

44、writer Call buyer（分数：1.00）A.B.C.40.Which transaction would least likely be classified as an interest rate swap?（分数：1.00）A.Pay USD fixed, receive U. S. LIBOR.B.Receive AUD fixed, pay NZD floating.C.Receive U. S. fixed, pay U.S. commercial paper.41.The forward contract price of a coupon-bearing bond i

45、s typically quoted as:（分数：1.00）A.the bond dollar-price plus accrued interest as of the settlement date.B.a discount to the face value.C.a yield to maturity at the settlement date.42.Which of the following statements regarding the seller of a call and a put is TRUE? A call writer:（分数：1.00）A.expects t

46、he price of the underlying stock to increase above the strike price and a put Writer expects the price of the underlying stock to decrease below the strike price.B.and a put writer both expect the price of the underlying stock to decrease below the strike price.C.expects the price of the underlying

47、stock to decrease below the strike price and a put writer expects the price of the underlying stock to increase above the strike price.43.For derivative contracts, the notional principal is best described as（分数：1.00）A.the amount of the underlying asset covered by the contract.B.a measure of the actu

48、al payments made and received in the contract.C.being, conceptually and in aggregate, the best available measure of the size of the market.44.An investor buys two calls and one put on ABC stock, all with a strike price of $45. The calls cost $5 each, and the put costs $4. If the investor closes the

49、position when ABC is priced at $55, the investor“s per share gain or loss is :（分数：1.00）A.$4 loss.B.$6 gain.C.$10 gain.45.Which of the following statements regarding call options is most accurate? The:（分数：1.00）A.breakeven point for the seller is the strike price minus the option premium.B.call holder will exercise (at expiration) whenever the strike price exceeds the stock price.C.breakeven point for the buyer is the strike price plus the option premium.46.By volume, the most widely used group of derivatives is the one with contracts