1、衍生产品投资(五)及答案解析(总分：49.00，做题时间：90 分钟)一、单项选择(总题数：48，分数：49.00)1.Which of the following is an example of an arbitrage opportunity?（分数：1.00）A.A portfolio of two securities that will produce a certain return that is greater than the riskfree rate of interest.B.A stock with the same price as another has a h
2、igher rate of return.C.A stock with the same price as another has a higher expected rate of return.2.Which of the following statements about the futures market is most accurate?（分数：1.00）A.Speculators trade to reduce some preexisting risk exposure.B.If a trader“s account falls below the maintenance m
3、argin level they have three days to bring it back up to the maintenance margin level.C.Open interest is the number of futures contracts for which delivery is currently obligated.3.To account for positive cash flows from the underlying asset, we need to adjust the put-call parity formula by:（分数：1.00）
4、A.adding the future value of the cash flows to S.B.adding the future value of the cash flows to X.C.subtracting the present value of the cash flows from S.4.Which of the following statements is most accurate?（分数：1.00）A.Forward contracts require that both parties to the transaction have a high degree
5、 of creditworthiness.B.Forward contracts are marked to market daily.C.Futures contracts have more default risk than forward contracts.5.An option sold for $10 is currently in-the-money $5. If the underlying is priced at $80, which of the following best describes that option?（分数：1.00）A.Put option wit
6、h an exercise price of $85.B.Put option with an exercise price of $70.C.Call option with an exercise price of $75.6.A U. S. bank enters into a plain vanilla currency swap with a notional principal of US $100m ( 67m). At each settlement date, the U.S. bank pays a fixed rate of 8 percent on the pounds
7、 received, and an English bank pays a variable rate equal to London interbank offered rate (LIBOR) on the U. S. dollars received. Given the following information, what payment is made to whom at the end of year 2? （分数：1.00）A.US $5.5m and the English bank pays 5.36m.B.US $6m and the English bank pays
8、 5.36m.C. 5.36m and the English bank pays US $5.5m.7.The main risk faced by an individual who enters into a forward contract to buy the S Euribor is the rate at which major European banks borrow euros from each other.9.Financial derivatives also provide a powerful tool for limiting risks that indivi
9、duals and firms face in the ordinary conduct of their business. This is an example of:（分数：1.00）A.trading efficiency.B.speculation.C.risk management. 解析：Financial derivatives provide a powerful tool for limiting risks that individuals and firms face in the ordinary conduct of their business. This is
10、known as risk management.10.Which of the following statements regarding a futures trade of a deliverable contract is FALSE?（分数：1.00）A.The long is obligated to purchase the asset.B.The short is obligated to deliver the asset.C.Equilibrium futures price is known only at the end of the trading day. 解析：
11、Each trade is made at the then current equilibrium price, determined by open outcry on the floor of the exchange, and is reported as it is executed. The long is obligated to buy, and the short is obligated to sell, the specified quantity of the underlying asset.11.Which statement about equity forwar
12、d contracts is least likely accurate?（分数：1.00）A.Investors can use equity forward contracts to speculate on stock-price increases.B.Dividend payments are usually included in equity forward contracts. C.Equity forward contracts may require asset delivery or cash settlement.解析：Dividend payments are usu
13、ally not included in equity forward contracts. Investors can use equity forwards to speculate on stock price movements. Most equity index forward contracts are settled in cash, but since they are custom instruments, forwards may specify either cash settlement or delivery of the equity shares specifi
14、ed in the contract.12.Which of the following statements about put and call options is FALSE?（分数：1.00）A.The price of the option is less volatile than the price of the underlying stock. B.Option prices are generally higher the longer the time till the option expires.C.For put options, the higher the s
15、trike price relative to the stock“s underlying price, the more the put is worth.解析：Option prices are more volatile than the price of the underlying stock. The other statements are true. Options have time value which means price are higher the longer the time until the option expires; and a higher st
16、rike price increases the value of a put option.13.Which of the following statements is NOT an advantage of swaps? Swaps:（分数：1.00）A.give the traders privacy.B.have little or no regulation.C.minimize default risk. 解析：Swaps do not minimize default risk. Swaps are agreements between two of more parties,
17、 and there are no guarantees that one of the parties will not default. Note that swaps do give traders privacy and, being private transactions, have little to no regulation and offer the ability to customize contracts to specific needs.14.Which of the following statements about swaps is least accura
18、te?（分数：1.00）A.Swaps typically have zero value at initiation.B.Swaps can have significant default risk.C.Parties to swap contracts are often individual speculators. 解析：Parties to swaps contracts are usually large institutions, rarely individual speculators or hedgers.15.Which of the following combina
19、tions of options and underlying investments have similarly shaped profit/loss diagrams?（分数：1.00）A.Long call option/short put option and long stock position. B.Covered call and short stock/long call.C.Short put option/long call option and protective put.解析：A long call and a short put will provide a n
20、early identical Payoff as a long stock. Professor“s Note : the easiest way to see this is to draw the payoff diagram for the combined option positions.16.Given the covered call option diagram below and the following information, what are the dollar values for points X and Y? The market price of the
21、stock is $70, the strike price of the call is $80, and the call premium is $5. （分数：1.00）A.$75, and point Y represents a dollar value of $15.B.$70, and point Y represents a dollar value of $15.C.$80, and point Y represents a dollar value of $15. 解析：The kink in the diagram of a covered call is always
22、at the exercise price of the option. Therefore, point X is $80. As the stock price rises above $80, the stock is called away and the maximum gain is the call premium plus the stock price gain ( $80 - $70 ). The maximum gain, then, at point Y is ( $5 + $10 = $15).17.An investor who bought a floating-
23、rate security and wishes to establish a minimum periodic cash flow on his investment could:（分数：1.00）A.buy an interest-rate floor. B.sell an interest-rate cap.C.buy an interest-rate cap.解析：The buyer of a floor will receive a payment when the floating rate is below the floor rate, effectively establis
24、hing a minimum rate on the floating rate security.18.An option“s intrinsic value is equal to the amount the option is:（分数：1.00）A.out of the money, and the time value is the market value minus the intrinsic value.B.in the money, and the time value is the intrinsic value minus the market value.C.in th
25、e money, and the time value is the market value minus the intrinsic value. 解析：Intrinsic value is the amount the option is in the money. In effect it is the value that would be realized if the option were at expiration. Prior to expiration, the option“s market value will normally exceed its intrinsic
26、 value. The difference between market value and intrinsic value is called time value.19.If 60-day London Interbank Offered Rate (LIBOR) is 6 percent, the interest on a 60-day LIBOR-based Eurodollar deposit of $990000 is:（分数：1.00）A.$10000.B.$9900. C.$60000.解析：06 (60/360) 990000 = $9900.20.Prior to ex
27、piration, the maximum value of an Americana call option and an American put option, respectively, is closest to the: American put option American call option A. Exercise price Exercise price B. Exercise price Underlying price C. Underlying price Exercise price（分数：1.00）A.B. C.解析：The maximum value of
28、a call option is the underlying price; it makes no sense to pay more for the right to buy the underlying than the value of the underlying itself, and the maximum value of an American put is the exercise price because the best outcome would be if the stock fell to zero, the holder could capture the v
29、alue of the exercise price.21.Which of the following statements regarding the mark to market of a futures account is FALSE? Marking to market of a futures account:（分数：1.00）A.may result in a margin balance above the initial margin amount and may be done more often than daily.B.is only done when the s
30、ettlement price is below the maintenance price. C.effectively adjusts the price of the future to the new equilibrium level.解析：Futures accounts are marked to market daily based on the new settlement price, which can result in either an addition to or subtraction from the previous margin balance. Unde
31、r extraordinary circumstances (volatility) the mark to market can be required more frequently. Once the margin is marked to market, the contract is effectively a futures contract at the new settlement price.22.Some forward contracts are termed cash settlement contracts. This means:（分数：1.00）A.either
32、the long or the short in the forward contract will make a cash payment at contract expiration and the asset is not delivered. B.at settlement, the long purchases the asset from the short for cash.C.at contract expiration, the long can buy the asset from the short or pay the difference between the ma
33、rket price of the asset and the contract price.解析：In a cash settlement forward contract there is a cash payment at settlement by either the long or the short depending on whether the market price of the asset is below or above the contract price at expiration. The underlying asset is not purchased o
34、r sold at settlement.23.Option investor D sells (writes, takes a SHORT position in) one of the following call options: Type of option: call option Underlying asset: 100 shares of Disney stock Exercise price: $40 per share Premium : $2.25 per share Expiration date : January The current market price o
35、f Disney stock is $39.02 per share. Investor D already owns 500 shares of Disney stock. Which of the following describes the amount of initial margin required for this transaction?（分数：1.00）A.Since the call option is “in the money“ investor D is not required to deposit initial margin.B.Since investor
36、 D owns at least 100 shares of Disney stock, he must deposit initial margin in the amount of 100% of the option premium.C.Since investor D owns at least 100 shares of Disney stock, no additional margin is required. 解析：If the owner (Long) of the call options exercises, investor D will be required to
37、sell 100 shares, investor D already owns sufficient shares to deliver. As a result, his position is “covered,“ and no additional margin is required.24.A financial instrument that has payoffs based on the price of an underlying physical or financial asset is a(n) :（分数：1.00）A.option.B.future.C.derivat
38、ive security. 解析：Options, futures, and forwards are examples of types of derivative securities.25.A trader is long four July gold futures contracts, each with a contract size of 300 oz. If the price of July gold increases from $380.20 to $381.00 per ounce the change in the margin balance will be :（分
39、数：1.00）A.$960. B.- $960.C.$240.解析：4 300 (381 -380.20) = $960.26.An investor purchases a stock for $40 a share and simultaneously sells a call option on the stock with an exercise price of $42 for a premium of $3/share. Ignoring dividends and transactions cost, what is the maximum profit that the wri
40、ter of this covered call can earn if the position is held to expiration?（分数：1.00）A.$81.B.$6.C.$5. 解析：This is an out of the money covered call. The stock can go up $2 to the strike price and then the writer will get $3 for the premium, total $5.27.A trader buys (takes a long position in) a T-bill fut
41、ures contract ( $1 million face value) at 98.14 and closes it out at a price of 98.27. On this contract the trader has :（分数：1.00）A.lost $325.B.gained $325. C.lost $1300.解析：The price is quoted as (one minus the annualized discount) in percent. Remember that the gains and losses on T-bill and Eurodoll
42、ar futures are $25 per basis point of the price quote. The price is up 13 ticks and 13 $25 is a gain of $325 for a long position.28.Prior to expiration, an American put option on a stock:（分数：1.00）A.is bounded by S-X/(1 +RFR)TB.will sell for its intrinsic value.C.will never sell for less than its int
43、rinsic value. 解析：At any time t, an American put will never sell below intrinsic value, but may sell for more than that. The lower bound is Max 0, X -S t .29.Typically, forward commitments are made with respect to all the following EXCEPT:（分数：1.00）A.inflation. B.bonds.C.equities.解析：Forward commitment
44、s can be customized and could be written on some measure of inflation, but typically they are not. The volume of forward commitments, including forward contracts and futures contracts, on bonds, equities, and interest rates is in the many billions of dollars.30.ABEX Corporation common stock is selli
45、ng for $50.00 per share. Both an American call option and a European call option are available on ABEX common, and each have identical strike prices and expiration dates. Which of the following statements concerning these two options is TRUE ?（分数：1.00）A.Because the American and European options have
46、 identical terms and are written against the same common stock, they will have identical option premiums.B.The greater flexibility allowed in exercising the American option will normally result in a higher market value relative to an otherwise identical European option. C.The American option will ha
47、ve a higher option premium, because the American security markets are larger than the European markets.解析：Trading in European options is considerably less than trading in American options, because demand for them is much lower. This is due to their relative inflexibility regarding when they can be e
48、xercised. The greater exercising flexibility of American options gives them increased value to traders, which normally results in a greater market value relative to an otherwise identical European option.31.A short position in a forward rate agreement is equivalent to:（分数：1.00）A.writing an interest
49、rate put and buying an interest rate call.B.buying an interest rate put and an interest rate call.C.writing an interest rate call and buying an interest rate put. 解析：A short position in a forward rate agreement is an obligation to make a hypothetical loan at the contract rate and will be profitable when the forward rate falls. An equivalent position using interest rate options is to buy a put and write a call.32.An investor bought a 15 call for $14 on a stock trading at $20. If the stock is trading at $24 at option expiration, what is the profit
