衍生产品投资及答案解析.doc

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1、衍生产品投资及答案解析(总分：244.00，做题时间：90 分钟)一、B单项选择/B(总题数：242，分数：244.00)1.Company X can borrow U.S. dollars at a rate of 7% , and can borrow Japanese yen at 2%. Company Z faces a dollar borrowing rate of 9% and a yen rate of 2%. The commercial needs of Company X are to borrow yen, while Company Z desires to ra

2、ise dollars. Is it possible for these two companies to enter a currency swap arrangement that will reduce their borrowing costs relative to their costs if no swap were used? A. Yes, X should borrow dollars, Z should borrow yen, and the companies should enter a currency swap. B. No, Bout companies do

3、 not have relative advantages that can be exploited. C. Yes, X should borrow yen, Z should borrow dollars, and the companies should enter a currency swap.（分数：1.00）A.B.C.2.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 a

4、t $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 (ignoring transaction costs) is:（分数：1.00）A.A. $8.50. B.B. $13.50. C.C. $16.50.3.The process of arbitrage does all of the following EXCEPT: A. promote p

5、ricing efficiency 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.4.Which of the following describe(s) a hedger? A. An oil refiner who has a large inventory of unleaded gasoline that will not be sol

6、d for 3 months takes a SHORT position in unleaded gasoline 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.5.A

7、 company is planning on setting up a new financing 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 executive

8、s of the company that any delay would seriously 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:（分数：1.00）A.DealerB.QuotesC.60-DayD.LIBOR=0.0450E.90-DayF.LIBOR=0.0440G

9、.180-DayH.LIBOR=0.14206.The minimum value for a European call option is:（分数：1.00）A.A. main 0, S-X/(1 +r)T. B.B. max 0, (S-X) /(1 +r)T. C.C. max 0, S-X/(1 +r)T.7.Which of the following statements about forward and future contracts is FALSE? A. A future requires the contract purchaser to receive deliv

10、ery of the good at a specified time. B. A predetermined 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.8.All of the following st

11、atements 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：1.00）A.B.C.9.Which of the

12、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.10.Which of the fol

13、lowing statements about moneyness is FALSE? When: 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.（分数：1.00）A.B.C.11.An investor buys two calls and one put on ABC stock, all with a strike price of $45. The calls cost $5 e

14、ach, and the put costs $4. If the investor closes the position when ABC is priced at $55, the investors per share gain or loss is :（分数：1.00）A.A. $4 loss. B.B. $6 gain. C.C. $10 gain.13.Macklin Metals has received 80 million pounds sterling. The company plans to spend $120 million on a project in the

15、 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 settlement Macklin will pay or receive is closest to:（分数：1.00）A

16、.A. $5.5 million payment. B.B. $8.8 million payment. C.C. $5.5 million receipt.14.Assume that you are analyzing a plain vanilla interest rate swap with the following characteristics : Counterparty X Counterparty Y pay fixed rate 6% pay floating rate LIBOR + 0.5% receive floating rate LIBOR +0.5% rec

17、eive fixed rate 6% Swap tenor: 10 years National principal: $1000000 LIBOR : 4.75% Which of the following is the first floating rate payment made by Counterparty Y?（分数：1.00）A.A. $60000. B.B. $47500. C.C. $52500.15.A trader has a short position in a wheat contract. The initial margin is $2000. The ma

18、intenance 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 margin call?（分数：1.00）A.A. $1.99. B.B. $1.79. C.C. $1.69.16.An investor can exit a forward position prior to contract

19、expiration by all of the following methods EXCEPT: A. entering into an offsetting contract with the original counterparty or a second (different) counterparty. B. exercising the early delivery option. C. making a cash payment or accepting a cash payment by agreement with the original counterparty.（分

20、数：1.00）A.B.C.17.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.18.No Errors Printing has entered into a “plain-vanilla“ interest rate swap

21、 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 rate payment is based on LIBOR (curre

22、ntly 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 reserve balance is $1000. To fulfill its ob

23、ligations under the swap, No Errors will need approximately how much additional cash?（分数：1.00）A.A. $250. B.B. $0. C.C. $667.19.Consider the following borrowing rates for Company Z and Company W Firm German mark rate French franc rate Company Z 5.25% 6.5% Company W 4.75% 7% Given the borrowing rates

24、above, Companies Z and W wish to enter into a plain vanilla currency swap. Which company should borrow French francs as a part of the swap? A. Company Z because it can borrow francs at a lower interest rate. B. Company Z because it can borrow marks at a lower interest rate. C. Company W because it c

25、an borrow francs at a lower interest rate.（分数：1.00）A.B.C.20.Which of the following is NOT a method of terminating a forward contract prior to expiration? A. Exercise a swaption. B. Make an agreed upon payment to the counterparty. C. Enter into an offsetting forward contract with a party not involved

26、 in the original forward contract.（分数：1.00）A.B.C.21.An American option is more valuable than a European option on the same dividend paying stock with the same terms because the: A. European option contract is not adjusted for stock splits and stock dividends and does not conform to the Black-Scholes

27、 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 and liquidity.（分数：1.00）A.B.C.22.If the risk-free rat

28、e of interest is 5 percent and an investor enters into a transaction that has no risk, the rate of return the investor should earn in the absence of arbitrage opportunities is（分数：1.00）A.A. 0%. B.B. between 0% and 5%. C.C. 5%.23.Given the following data regarding Printer, Inc. s call options, which o

29、f the following statements is FALSE? Stock Price Expiration Strike Option Prem. (Last)505050JuneJuneJune455055620.50A. 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.24.Sue Wil

30、kins buys one corn futures contract at $3.00 per bushel (one contract is for 5000 bushels). The initial margin requirement is 10 percent of the total contract purchase price, and the maintenance margin level is 65 percent. What is the amount of the per bushel price decline that will require a mainte

31、nance margin call to Wilkins?（分数：1.00）A.A. $0.1250. B.B. $0.675. C.C. $0.1050.25.Why are payments NOT usually netted out in a currency swap? A. There are no payments in a currency swap except at initiation and maturity. B. The notional principal is not swapped at initiation. C. The payments are deno

32、minated in two different currencies.（分数：1.00）A.B.C.26.When one party pays a fixed rate of interest in an equity swap, which of the following is FALSE? 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 wi

33、ll receive the fixed-rate minus the equity return. C. The fixed-rate receiver will never get more than the fixed rate.（分数：1.00）A.B.C.27.On the settlement date of a forward contract: A. the short may be required to sell the asset. B. the long must sell the asset or make a cash payment. C. at least on

34、e party must make a cash payment to the other.（分数：1.00）A.B.C.28.Consider a commercial bank that is about to make a large variable-rate loan. Which of the following would be an appropriate position for the bank to hedge its risk with this loan? Pay: A. variable to a currency swap counterparty and rec

35、eive fixed. B. variable to an interest rate swap counterparty and receive fixed. C. fixed to an interest rate swap counterparty and receive variable.（分数：1.00）A.B.C.29.The least likely way to terminate a swap agreement prior to expiration is to: A. make/receive a payment to/from the original counterp

36、arty. B. sell the swap. C. enter into an offsetting swap.（分数：1.00）A.B.C.30.Assume the holder of a long futures position negotiates 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 trans

37、action is most correct? The transaction is: A. also known as delivery. B. also known as an exchange of physicals. C. the most common way to close a futures position.（分数：1.00）A.B.C.31.For derivative contracts, the notional principal is best described as A. the amount of the underlying asset covered b

38、y the contract. B. a measure of the actual payments made and received in the contract. C. being, conceptually and in aggregate, the best available measure of the size of the market.（分数：1.00）A.B.C.32.Which of the following statements about the potential profits and losses from selling a call is most

39、accurate? A. Losses are theoretically unlimited. B. Profits are theoretically unlimited. C. Losses are limited to the initial premium the seller receives.（分数：1.00）A.B.C.33.The standardization of futures contracts promotes liquidity because: A. all the participants in the market know exactly what is

40、being offered for sale, and they know the terms of the transactions. B. it guarantees that all of the traders in the futures market will honor their obligations and that futures contracts trade in a smoothly functioning market. C. it provides a safeguard whereby traders are required to realize any l

41、osses in cash on the day they occur.（分数：1.00）A.B.C.34.TDK commercial bank makes an adjustable rate mortgage for a big construction customer. Which of the following would be an appropriate position for the bank to hedge its risk with this loan? TDK should pay: A. fixed to a currency swap counterparty

42、 and receive variable. B. variable to an interest rate swap counterparty and receive fixed. C. variable to a currency swap counterparty and receive fixed.（分数：1.00）A.B.C.35.In commodity trading, the exchange removes any daily losses from a traders account and acids any gains to the traders account. T

43、his process is known as :（分数：1.00）A.A. initial margin. B.B. maintenance margin. C.C. marking to market.36.A June put option has a premium of $1.50. At expiration, the breakeven value of the underlying asset is $36.50. The strike price of the option is :（分数：1.00）A.A. $1.50. B.B. $36.50. C.C. $38.00.3

44、7.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.38.Roger Hickstead owns 100 shares of Cole Corporation stock with a current market value

45、 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 than $10? A. Buy a put with a strike price of

46、 $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.（分数：1.00）A.B.C.39.Delbert Gossert owns stock worth $32 per share. Gossert buys a put option with a strike price of $32 for $2.50. At

47、 expiration, the stock is valued at $32 per share. The profit or loss from Gosserts portfolio insurance strategy is a:（分数：1.00）A.A. loss of $2.50. B.B. $0, no gain or loss. C.C. gain of $2.50.40.A1 Steadman receives a premium of $3.80 for shorting a put option with a strike price of $64. If the stoc

48、k price at expiration is $84, Steadmans profit or loss from the options position is :（分数：1.00）A.A. $16.20. B.B. $20.00. C.C. $3.80.41.The clearinghouse in a futures contract performs all but which of the following roles? The clearinghouse : A. allows traders to reverse their position without having

49、to contact the other side of the position. B. guarantees the physical delivery of the underlying asset to the buyer of futures contracts. C. splits each trade and acts as a buyer to futures sellers and as a seller to futures buyers.（分数：1.00）A.B.C.42.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:（分数：1.00）A.A. loss of $11.50. B.B. loss of $1.50. C.C. gain of $16.50.43.Part