1、衍生产品投资(二)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 a swap with a notional principal of $120 million. （分数：1.00）A.A pays B $0.6 million.B.A pays B $6.6 million and B pays A $6 million.C.A pays B $13.2 million and B pays A $12 million.2.Assume the holder of a long futures position neg
2、otiates privately with the holder of a short futures position to accept delivery to dose out both the long and short positions. Which of the following statements about the transaction is most correct? The transaction is:（分数：1.00）A.also known as delivery.B.also known as an exchange of physicals.C.the
3、 most common way to close a futures position.3.A currency forward contract:（分数：1.00）A.is priced using the future interest rate on a foreign currency.B.requires a payment at settlement based on London Inter-bank Offered Rate.C.can be a deliverable contract.4.In the futures market, a contract does not
4、 trade for two days because trades are not permitted at the equilibrium price. The market for this contract is:（分数：1.00）A.limit up.B.locked limit.C.limit down.5.Consider a put option on Deter, Inc. , with an exercise price of $45. The current stock price of Deter is $52. What is the intrinsic value
5、of the put option, and is the put option in-the-money, at-the-money, or out-of-the-money?（分数：1.00）A.$0, Out-of-the-money.B.$7, At-the-money.C.$7, Out-of-the-money.6.If a stock is selling for $25, the exercise price of a put option on that stock is $20, and the time to expiration of the option is 90
6、days, the minimum and maximum prices for the put today are :（分数：1.00）A.$5 and $25.B.$0 and $20.C.$5 and $20.7.123, Inc has entered into a “plain-vanilla“ interest rate swap on $10000000 notional principal. 123 company receives a fixed rate of 6.5 percent on payments that occur at monthly intervals.
7、Platteville Investments, a swap broker, negotiates with another firm, PPS, to take the pay-fixed side of the swap. The floating rate payment is based on LIBOR ( currently at 4.8 percent). At the time of the next payment (due in exactly one month), 123, Inc will:（分数：1.00）A.receive net payments of $42
8、500.B.receive net payments of $14167.C.pay the dealer net payments of $14167.8.The payoff on an interest-rate option:（分数：1.00）A.comes some period after option expiration.B.is periodic, typically every 90 days.C.is greater than the “strike“ rate.9.Consider a call option expiring in 60 days on a non-d
9、ividend-paying stock trading at 53 when the risk-free rate is 5%. The lower bound for a call option with an exercise price of 50 is:（分数：1.00）A.$3.00.B.$3.40.C.$3.55.10.Which of the following is NOT one of the conditions that must be met for a trade to be considered an arbitrage?（分数：1.00）A.There is n
10、o risk.B.There are no commissions.C.There is no initial investment and there is a guaranteed profit.11.Funds deposited to meet a margin call are termed:（分数：1.00）A.daily margin.B.loan paymentsC.variation margin.12.Shigeo Kishiro recently purchased an American put option and Lendon Grey recently wrote
11、 an American call option on the same underlying stock, Tackel Sports (currently trading at $40 per share). Kishiro paid $2.75 for an exercise price of $38.00 and Grey received $3.75 for a strike price of $42. Assume that there are no transaction costs to exercise. At a stock price of $43:（分数：1.00）A.
12、if Grey exercises, he will have gained a total of $4.75.B.the intrinsic put value is $0 and the put is at-the-money.C.the intrinsic call value is $1.13.XYZ company has entered into a “plain-vanilla“ interest rate swap on $1000000 notional principal. XYZ company pays a fixed rate of 8 percent on paym
13、ents that occur at 90-day intervals. Six payments remain with the next one due in exactly 90 days. On the other side of the swap, XYZ company receives payments based on the LIBOR rate. Describe the transaction between XYZ company and the dealer at the end of the fourth period if the appropriate LIBO
14、R rate is 9.2 percent.（分数：1.00）A.XYZ company pays dealer $3000.B.Dealer receives $20000.C.Dealer pays XYZ company $3000.14.Do “margin“ in the stock market and “margin“ in the futures market, respectively, mean that an investor has received a loan that reduces the amount of his own money required to
15、complete the transaction? “Margin“ in the stock market “Margin“ in the futures market A. No No B. No Yes C. Yes No（分数：1.00）A.B.C.15.Which of the following is NOT a method of terminating a forward contract prior to expiration?（分数：1.00）A.Exercise a swaption.B.Make an agreed upon payment to the counter
16、party.C.Enter into an offsetting forward contract with a party not involved in the original forward contract.16.A1 Steadman receives a premium of $3.80 for shorting a put option with a strike price of $64. If the stock price at expiration is $84, Steadman“s profit or loss from the options position i
17、s :（分数：1.00）A.$16.20.B.$20.00.C.$3.80.17.The least likely way to terminate a swap agreement prior to expiration is to:（分数：1.00）A.make/receive a payment to/from the original counterparty.B.sell the swap.C.enter into an offsetting swap.18.A legally binding promise to buy 140 oz. of gold two months fro
18、m now at a price agreed upon today is a(n) :（分数：1.00）A.take-or-pay contract.B.forward commitment.C.option.19.A put with a strike price of $75 sells for $10. Which of the following statements is FALSE? The greatest :（分数：1.00）A.profit the writer of the put option can make is $10.B.profit the buyer of
19、a put option can make is $65.C.loss the writer of a put option can make is $75.20.The following profit/loss diagram is for what type of position? （分数：1.00）A.Long put.B.Long stock, long put (portfolio insurance).C.Long stock, short call (covered call).21.Jimmy Casteel pays a premium of $1.60 to buy a
20、 put option with a strike price of $145. If the stock price at expiration is $128, Casteel“s profit or loss from the options position is:（分数：1.00）A.$18.40.B.$1.60.C.$15.40.22.A silver futures contract requires the seller to deliver 5000 Troy ounces of silver. An investor sells one July silver future
21、s contract at a price of $8 per ounce, posting a $2025 initial margin. If the required maintenance margin is $1500, the price per ounce at which the investor would first receive a maintenance margin call is closest to:（分数：1.00）A.$5.92.B.$7.89.C.$8.11.23.A contract in which one party pays a fixed rat
22、e of interest on a notional amount in return for the return on a single stock, paid quarterly for four quarters, is a(n) :（分数：1.00）A.plain vanilla swap.B.equity swap.C.returns swap.24.Which of the following statements is FALSE?（分数：1.00）A.Hedgers trade to reduce some preexisting risk exposure.B.The c
23、learinghouse guarantees that traders in the futures marker will honor their obligations.C.If an account rises to or exceeds the maintenance margin, then the trader must deposit variation margin.25.Jan Jurgen, CFA charterholder, recently accepted a position in the Treasury area of a conservatively ma
24、naged commercial bank. Jurgen intends to suggest the use of plain-vanilla interest rate swaps at today“s Asset selling a swap would be unusual and would require the permission of the counterparty.18.A legally binding promise to buy 140 oz. of gold two months from now at a price agreed upon today is
25、a(n) :（分数：1.00）A.take-or-pay contract.B.forward commitment. C.option.解析：It is a forward commitment; it may be used to hedge or may be used to speculate on the price of gold in two months.19.A put with a strike price of $75 sells for $10. Which of the following statements is FALSE? The greatest :（分数：
26、1.00）A.profit the writer of the put option can make is $10.B.profit the buyer of a put option can make is $65.C.loss the writer of a put option can make is $75. 解析：The greatest loss the put writer can have is the strike price minus the premium received = $65.20.The following profit/loss diagram is f
27、or what type of position? （分数：1.00）A.Long put.B.Long stock, long put (portfolio insurance). C.Long stock, short call (covered call).解析：The above diagram is for a long stock, long put strategy (portfolio insurance). The loss is limited to the cost of the option while the potential upside profit is un
28、limited. Note that the portfolio insurance payoff diagram is identical to the profit/loss diagram for a long call option, however a long call is not one of the answer choices.21.Jimmy Casteel pays a premium of $1.60 to buy a put option with a strike price of $145. If the stock price at expiration is
29、 $128, Casteel“s profit or loss from the options position is:（分数：1.00）A.$18.40.B.$1.60.C.$15.40. 解析：The put option will be exercised and has a value of $145 - $128 = $17 Max (0, X -S) . Therefore, Casteel receives $17 minus the $1.60 paid to buy the option. Therefore, the profit is $15.40 ( $17 less
30、 $1.60).22.A silver futures contract requires the seller to deliver 5000 Troy ounces of silver. An investor sells one July silver futures contract at a price of $8 per ounce, posting a $2025 initial margin. If the required maintenance margin is $1500, the price per ounce at which the investor would
31、first receive a maintenance margin call is closest to:（分数：1.00）A.$5.92.B.$7.89.C.$8.11. 解析：A good way to deal with futures margins and mark to market calculations is to first calculate the movement in the contract value for a one-unit change in price-a dollar, a percent, a basis point, whatever fits
32、 the contract. One cent seems to fit here. A one-cent change in the price of silver means a $50 change on 5000 ounces. To lose more than $2025 - $1500 = $525, $0.11 will do it since 11 50 is 550.23.A contract in which one party pays a fixed rate of interest on a notional amount in return for the ret
33、urn on a single stock, paid quarterly for four quarters, is a(n) :（分数：1.00）A.plain vanilla swap.B.equity swap. C.returns swap.解析：A swap contract in which at least one party makes payments based on the return on an equity, portfolio, or market index, is called an equity swap.24.Which of the following
34、 statements is FALSE?（分数：1.00）A.Hedgers trade to reduce some preexisting risk exposure.B.The clearinghouse guarantees that traders in the futures marker will honor their obligations.C.If an account rises to or exceeds the maintenance margin, then the trader must deposit variation margin. 解析：If an ac
35、count rises to or exceeds the maintenance margin, no payment needs to be made, and the trader has the option to remove the excess funds from the account. Only if an account falls below the maintenance margin does variation margin need to be paid to bring the level of the account back up to the level
36、 of the initial margin.25.Jan Jurgen, CFA charterholder, recently accepted a position in the Treasury area of a conservatively managed commercial bank. Jurgen intends to suggest the use of plain-vanilla interest rate swaps at today“s Asset there is no adjustment to the amounts for the change in exch
37、ange rates over the life of the swap.32.Euribor is :（分数：1.00）A.a London interbank lending rate.B.the rate on U. S. dollar deposits in continental Europe.C.published by the European Central Bank. 解析：Euribor is the interbank lending rate for Euro denominated loans, published by the European Central Ba
38、nk, and compiled in Frankfurt.33.All of the following are ways to exit a swap contract EXCEPT:（分数：1.00）A.entering an offsetting swap with the original counterparty.B.selling a swaption. C.making a cash payment to the original counterparty.解析：Selling a swaption gives the seller an obligation to enter
39、 into a swap if the swaption is exercised. To exit a swap, the entity would want to buy the swaption.34.Consider a $1 million 90-day forward rate agreement based on 60-day London Interbank Offered Rate (LIBOR) with a contract rate of 5 percent. If, at contract expiration, 60-day LIBOR is 6 percent,
40、the short must pay:（分数：1.00）A.$1652.89.B.$1650.17. C.$1572.33.解析：解析 / 1 +0.06 (60/360) = 1650.17.35.An American option is more valuable than a European option on the same dividend paying stock with the same terms because the:（分数：1.00）A.European option contract is not adjusted for stock splits and st
41、ock dividends and does not conform to the Black-Scholes model and is often mispriced.B.American option can be exercised from date of purchase until expiration, but the European option can be exercised only at expiration. C.American options are traded on U. S. exchanges, which offer much more volume
42、and liquidity.解析：Investors may be willing to pay more for the right to exercise an American option prior to its expiration.36.Swap contracts typically:（分数：1.00）A.are standardized contracts.B.cover a single payment.C.do not require a payment from either party at initiation. 解析：Swaps typically do not
43、require a payment from either party at initiation. The exception is currency swaps.37.The settlement price for a futures contract is:（分数：1.00）A.an average of the trade prices during the “ closing period“ B.the price of the last trade of a futures contract at the end of the trading day.C.the price at
44、 which all trades over a certain period are executed.解析：The margin adjustments are made based on the settlement price, which is calculated as the average trade price over a specific closing period at the end of the trading day. The length of the closing period is set by the exchange.38.Which of the
45、following statements about swap agreements is FALSE?（分数：1.00）A.They are standardized agreements, similar to futures. B.Interest rate and currency are common types of swaps.C.They allow for the exchange of different sets of future cash flows.解析：A swap is an agreement between two or more counterpartie
46、s to exchange (swap) cash flows over a specified future period. Swaps are flexible because, unlike futures, they are custom tailored to meet the needs of the specific counterparties involved in the agreement. Common types are interest rate and foreign currency swaps.39.When one party pays a fixed ra
47、te of interest in an equity swap, which of the following is FALSE?（分数：1.00）A.Unlike other swaps, in an equity swap the one-quarter-ahead payment is not known at the end of the previous quarter.B.The equity-return payer will receive the fixed-rate minus the equity return.C.The fixed-rate receiver wil
48、l never get more than the fixed rate. 解析：If the periodic return on the equity is negative, the fixed-rate payer must pay the fixed rate plus the percentage of (negative) equity return, times the notional principal.40.Consider a quarterly-pay currency swap where Party A pays London Interbank Offered
49、Rate (LIBOR) on $1000000 and Party B pays 4 percent on 900000 euros. Current LIBOR is 3 percent and at the end of 90 days it is 4 percent. Which of the following statements regarding the first settlement date is TRUE?（分数：1.00）A.Party A must make a payment of $10000.B.The payments net to zero and no payment is made.C.Party A must make a payment of $7500. 解析：Floating rate payments in a swap are based on the reference rate for the prior period. The payment is: 0.03 90/360 1000000 = $75000.41.On the maturity date, stock index futures contracts require delivery
