1、衍生产品投资(四)及答案解析(总分：17.00，做题时间：90 分钟)一、B单项选择/B(总题数：1，分数：17.00)It is April 15, and a trader is entered into a short position in two soybean meal futures contracts. The contracts expire on August 15, and call for the delivery of 100 tons of soybean meal each. Further, because this is a futures position,
2、 it requires the posting of a $3000 initial margin and a $1500 maintenance margin per contract. For simplicity, however, assume that the account is marked to market on a monthly basis. Assume the following represent the contract delivery prices (in dollars per ton) that prevail on each settlement da
3、te: April 15 (initiation)May 15June 15July 15August 15 (delivery)173.00179.75189.00182.50174.25（分数：17.00）(1).What is the equity value of the margin account on the May 15 settlement date, including any additional equity that is required to meet a margin call? A. $4650. B. $2300. C. $2700.（分数：1.00）A.B
4、C.(2).Based on the May 15 settlement date, which of the following is TRUE? A. Since the equity value fell below the maintenance level, a variation margin is called. B. Due to the fact that the equity value falls below the initial margin, a variation margin is called to restore the equity value of t
5、he account to its initial level. C. The equity value falls below the initial margin.（分数：1.00）A.B.C.(3).Which is least likely to be true? Forward contracts: A. are unique contracts. B. are private contracts. C. require no up front cash and are default risk free.（分数：1.00）A.B.C.(4).Tommy Stamlano owns
6、stock worth $80 per share. Stamlano buys a put option with a strike price of $70 for $1.50. At expiration of the put option, the stock price is $65 per share. The profit or loss from Stamlanos portfolio insurance strategy is a: A. loss of $11.50. B. loss of $1.50. C. gain of $16.50.（分数：1.00）A.B.C.(5
7、).Which of the following statements regarding equity forward contracts is FALSE? A. Equity forwards may be settled in cash. B. Dividends are never included in index forwards. C. A short position in equity forward could not hedge the risk of a purchase of that equity in the future.（分数：1.00）A.B.C.(6).
8、All of the following statements regarding interest-rate options are true EXCEPT: A. they are based on a fixed income security and can hedge interest rate risk. B. they are based on a specific interest rate rather than a bond. C. call option values move in the same direction as interest rates.（分数：1.0
9、0）A.B.C.(7).There is a call option on a stock that is currently selling for $25 and it is in-the-money by $8. Find the call options strike price: A. $17. B. $25. C. $33.（分数：1.00）A.B.C.(8).Which type of futures contract does NOT allow for the underlying goods to be delivered? A. Interest rate. B. Ind
10、ex. C. Foreign currency.（分数：1.00）A.B.C.(9).Suppose the price of a share of Stock A is $100. A European call option that matures one month from now has a premium of $8, and an exercise price of $100. Ignoring commissions and the time value of money, the holder of the call option will earn a profit if
11、 the price of the share one month from now: A. increases to $106. B. decreases to $94. C. increases to $110.（分数：1.00）A.B.C.(10).In negotiating a swap, the two counterparties agree to exchange: A. a series of options. B. a series of cash flows. C. a series of forward contracts.（分数：1.00）A.B.C.(11).A S
12、wiss firm can borrow in Switzerland at 10 percent and in the U. S. at 8.5 percent. A U. S. firm can borrow in Switzerland at 10.5 percent and in the U. S. at 8.5 percent. Which firm has a comparative advantage in which currency? The: A. Swiss firm has a comparative advantage borrowing in the U. S. B
13、 Swiss firm has a comparative advantage borrowing in Switzerland. C. U.S. firm has a comparative advantage in borrowing in the U. S.（分数：1.00）A.B.C.(12).Given the following data regarding Printer, Inc. s call options, which of the following statements is FALSE? Stock Price Expiration Strike Option P
14、rem. (Last)505050JuneJuneJune455055620.50 A. The June $55.00 call is an in-the-money option. B. The June $50. O0 call is an at-the-money option. C. The intrinsic value of the June $45.00 call is $5.00.（分数：1.00）A.B.C.(13).Assume the following information relating to a fixed-for-fixed currency swap be
15、tween Party C and D who hold German marks and U. S. dollars respectively. The spot exchange rate between German marks and U. S. dollars is 2.5 marks per dollar. The U. S. interest rate is 10% and the German interest rate is 8%. Party C holds 25 million marks and wants dollars. In return for the mark
16、s, Party D would pay: A. DM 25 million to Party C at the initiation of the swap. B. $10000000 to Party C at the initiation of the swap. C. $10000000 to Party C at the initiation of the swap.（分数：1.00）A.B.C.(14).An investor pays $2 for a call option with an exercise price of $95, when the underlying s
17、tock price is $95. If the stock price is now $96, the intrinsic value of the call option would be : A. -$1 B. $0 C. $1（分数：1.00）A.B.C.(15).Which is the only type of commodity where trading in forward contracts is larger than trading with future contracts? A. Agricultural. B. Foreign currency. C. Inte
18、rest rate.（分数：1.00）A.B.C.(16).Two parties enter a three-year, plain-vanilla interest-rate swap agreement to exchange the LIBOR rate for a 10 percent fixed rate on $10 million. LIBOR is 11 percent now, 12 percent at the end of the first year, and 9 percent at the end of the second year. If payments a
19、re in arrears, which of the following characterizes the net cash flow, to be received by the fixed-rate payer? A. $100000 at the end of year 2. B. $100000 at the end of year 3. C. $200000 at the end of year 2.（分数：1.00）A.B.C.(17).When the underlying stock price is $95, an investor pays $2 for a call
20、option with an exercise price of $95. if the stock price moves to $96, the intrinsic value of the call option would be : A. -$1. B. $0. C. $1.（分数：1.00）A.B.C.衍生产品投资(四)答案解析(总分：17.00，做题时间：90 分钟)一、B单项选择/B(总题数：1，分数：17.00)It is April 15, and a trader is entered into a short position in two soybean meal fu
21、tures contracts. The contracts expire on August 15, and call for the delivery of 100 tons of soybean meal each. Further, because this is a futures position, it requires the posting of a $3000 initial margin and a $1500 maintenance margin per contract. For simplicity, however, assume that the account
22、 is marked to market on a monthly basis. Assume the following represent the contract delivery prices (in dollars per ton) that prevail on each settlement date: April 15 (initiation)May 15June 15July 15August 15 (delivery)173.00179.75189.00182.50174.25（分数：17.00）(1).What is the equity value of the mar
23、gin account on the May 15 settlement date, including any additional equity that is required to meet a margin call? A. $4650. B. $2300. C. $2700.（分数：1.00）A. B.C.解析：Total margin = 2 3000 = $6000. Total price change = 179.75 - 173.00 = $6.75 per ton. $6.75 per ton 200 tons = $1350. Since this is a shor
24、t position, the margin account will decrease by $1350. $6000- $1350= $4650.(2).Based on the May 15 settlement date, which of the following is TRUE? A. Since the equity value fell below the maintenance level, a variation margin is called. B. Due to the fact that the equity value falls below the initi
25、al margin, a variation margin is called to restore the equity value of the account to its initial level. C. The equity value falls below the initial margin.（分数：1.00）A.B.C. 解析：The equity value falls below the initial margin, but since the equity value does not fell below the maintenance level, a vari
26、ation margin is not called(3).Which is least likely to be true? Forward contracts: A. are unique contracts. B. are private contracts. C. require no up front cash and are default risk free.（分数：1.00）A.B.C. 解析：Forwards have default risk. The seller may not deliver, and the buyer may not accept delivery
27、4).Tommy Stamlano owns stock worth $80 per share. Stamlano buys a put option with a strike price of $70 for $1.50. At expiration of the put option, the stock price is $65 per share. The profit or loss from Stamlanos portfolio insurance strategy is a: A. loss of $11.50. B. loss of $1.50. C. gain of
28、 $16.50.（分数：1.00）A. B.C.解析：The put option is in-the-money at expiration ( Max (0, X - S) ) and is worth $5. Stamlano lost $15 on the stock ( $80- $65) and is also out the premium on the option, $1.50. Therefore, Stamlano lost a total of $11.50 ( - $15 - $1.50 + $5).(5).Which of the following stateme
29、nts regarding equity forward contracts is FALSE? A. Equity forwards may be settled in cash. B. Dividends are never included in index forwards. C. A short position in equity forward could not hedge the risk of a purchase of that equity in the future.（分数：1.00）A.B. C.解析：Index forward contracts may be w
30、ritten total return contracts, which include dividends. Contracts may be written to settle in cash, be deliverable, or may be on custom portfolios. A long position is used to reduce the price risk of all expected future purchase.(6).All of the following statements regarding interest-rate options are
31、 true EXCEPT: A. they are based on a fixed income security and can hedge interest rate risk. B. they are based on a specific interest rate rather than a bond. C. call option values move in the same direction as interest rates.（分数：1.00）A. B.C.解析：Treasury bond or bill options are options on fixed inco
32、me securities. Interest rate options are based on a specific reference rate and interest rate calls have positive payoffs when the reference rate is above the rate specified in the contract.(7).There is a call option on a stock that is currently selling for $25 and it is in-the-money by $8. Find the
33、 call options strike price: A. $17. B. $25. C. $33.（分数：1.00）A. B.C.解析：When the stocks price(S) -the strike price (X) is positive, a call option is in-the-money. 25-X=8 so X=17.(8).Which type of futures contract does NOT allow for the underlying goods to be delivered? A. Interest rate. B. Index. C. F
34、oreign currency.（分数：1.00）A.B. C.解析：The nature of an index future realistically prohibits settlement in the underlying commodity. For example, the Standard and Poors 500 stock index would require settlement in 500 different common stocks, in the exact proportion of the total value as exists in the in
35、dex at expiration of the future. Agriculture, interest rate, and currency futures all involve deliverable commodities.(9).Suppose the price of a share of Stock A is $100. A European call option that matures one month from now has a premium of $8, and an exercise price of $100. Ignoring commissions a
36、nd the time value of money, the holder of the call option will earn a profit if the price of the share one month from now: A. increases to $106. B. decreases to $94. C. increases to $110.（分数：1.00）A.B.C. 解析：The breakeven point is the strike price plus the premium, or $100 + $8 = $108. Any price great
37、er than this would result in a profit, and the only choice that exceeds this amount is $110.(10).In negotiating a swap, the two counterparties agree to exchange: A. a series of options. B. a series of cash flows. C. a series of forward contracts.（分数：1.00）A.B. C.解析：(11).A Swiss firm can borrow in Swi
38、tzerland at 10 percent and in the U. S. at 8.5 percent. A U. S. firm can borrow in Switzerland at 10.5 percent and in the U. S. at 8.5 percent. Which firm has a comparative advantage in which currency? The: A. Swiss firm has a comparative advantage borrowing in the U. S. B. Swiss firm has a comparat
39、ive advantage borrowing in Switzerland. C. U.S. firm has a comparative advantage in borrowing in the U. S.（分数：1.00）A.B. C.解析：The interest rates are equal for borrowing in the U. S. , but the Swiss firm can borrow in Switzerland at a lower rate, thus giving the Swiss firm the comparative advantage in
40、 Switzerland.(12).Given the following data regarding Printer, Inc. s call options, which of the following statements is FALSE? Stock Price Expiration Strike Option Prem. (Last)505050JuneJuneJune455055620.50 A. The June $55.00 call is an in-the-money option. B. The June $50. O0 call is an at-the-mone
41、y option. C. The intrinsic value of the June $45.00 call is $5.00.（分数：1.00）A. B.C.解析：The June $55.00 call option is out-of-the money. It gives the purchaser the right to buy Printer, Inc: for $55.00 when they would only have to pay $50.00 in the market.(13).Assume the following information relating
42、to a fixed-for-fixed currency swap between Party C and D who hold German marks and U. S. dollars respectively. The spot exchange rate between German marks and U. S. dollars is 2.5 marks per dollar. The U. S. interest rate is 10% and the German interest rate is 8%. Party C holds 25 million marks and
43、wants dollars. In return for the marks, Party D would pay: A. DM 25 million to Party C at the initiation of the swap. B. $10000000 to Party C at the initiation of the swap. C. $10000000 to Party C at the initiation of the swap.（分数：1.00）A.B.C. 解析：In return for the marks, Party D would pay $10000000 t
44、o Party C at the initiation of the swap. DM 25000000/2.5 = $10000000.(14).An investor pays $2 for a call option with an exercise price of $95, when the underlying stock price is $95. If the stock price is now $96, the intrinsic value of the call option would be : A. -$1 B. $0 C. $1（分数：1.00）A.B.C. 解析
45、The intrinsic value is $1 ; a stock priced at $96 can be purchased for $95.(15).Which is the only type of commodity where trading in forward contracts is larger than trading with future contracts? A. Agricultural. B. Foreign currency. C. Interest rate.（分数：1.00）A.B. C.解析：Trading in foreign currency
46、forwards is far larger than the trading in futures. For example, with international trade, businesses can hedge against adverse currency fluctuations. But each business arrangement is unique, and most require the flexibility of a forward, whose terms are not standardized, that meets their special ne
47、eds.(16).Two parties enter a three-year, plain-vanilla interest-rate swap agreement to exchange the LIBOR rate for a 10 percent fixed rate on $10 million. LIBOR is 11 percent now, 12 percent at the end of the first year, and 9 percent at the end of the second year. If payments are in arrears, which
48、of the following characterizes the net cash flow, to be received by the fixed-rate payer? A. $100000 at the end of year 2. B. $100000 at the end of year 3. C. $200000 at the end of year 2.（分数：1.00）A.B.C. 解析：Year Fix pay Vat. pay Net Dollars 1 10% 11% 1% to fixed + $100.000 2 10% 12% 2% to fixed + $2
49、00.000 3 10% 9% 1% to variable - $100.000(17).When the underlying stock price is $95, an investor pays $2 for a call option with an exercise price of $95. if the stock price moves to $96, the intrinsic value of the call option would be : A. -$1. B. $0. C. $1.（分数：1.00）A.B.C. 解析：The intrinsic value is $1 ; a stock priced at $96 can be purchased for $9
