衍生产品投资五试题文档格式.docx
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衍生产品投资五试题文档格式.docx
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B.Astockwiththesamepriceasanotherhasahigherrateofreturn.
C.Astockwiththesamepriceasanotherhasahigherexpectedrateofreturn.
答案:
A
Anarbitrageopportunityexistswhenacombinationoftwosecuritieswillproduceacertainpayoffinthefuturethatproducesareturnthatisgreaterthantherisk-freerateofinterest.Borrowingattherisklessratetopurchasethepositionwillproduceacertainfutureamountgreaterthantheamountrequiredtorepaytheloan.
2.Whichofthefollowingstatementsaboutthefuturesmarketismostaccurate?
A.Speculatorstradetoreducesomepreexistingriskexposure.
B.Ifatrader'
saccountfallsbelowthemaintenancemarginleveltheyhavethreedaystobringitbackuptothemaintenancemarginlevel.
C.Openinterestisthenumberoffuturescontractsforwhichdeliveryiscurrentlyobligated.
C
Openinterestisthenumberofcontractscurrentlyinexistence.Speculatorstakeriskforreturn.Youmustbringthemarginaccountuptotheinitiallevelbythenextday'
sopening.
3.Toaccountforpositivecashflowsfromtheunderlyingasset,weneedtoadjusttheput-callparityformulaby:
A.addingthefuturevalueofthecashflowstoS.
B.addingthefuturevalueofthecashflowstoX.
C.subtractingthepresentvalueofthecashflowsfromS.
Iftheunderlyingassetusedtoestablishtheput-callparityrelationshipgeneratesacashflowpriortoexpiration,theassetsvaluemustbereducedbythepresentvalueofthecashflowdiscountedattherisk-freerate.
4.Whichofthefollowingstatementsismostaccurate?
A.Forwardcontractsrequirethatbothpartiestothetransactionhaveahighdegreeofcreditworthiness.
B.Forwardcontractsaremarkedtomarketdaily.
C.Futurescontractshavemoredefaultriskthanforwardcontracts.
Forwardcontractsareusuallyprivatetransactionsthatdonothaveanintermediarysuchasaclearinghousetoguaranteeperformancebybothparties.Thistypeoftransactionrequiresahighdegreeofcreditworthinessforbothparties.
5.Anoptionsoldfor$10iscurrentlyin-the-money$5.Iftheunderlyingispricedat$80,whichofthefollowingbestdescribesthatoption?
A.Putoptionwithanexercisepriceof$85.
B.Putoptionwithanexercisepriceof$70.
C.Calloptionwithanexercisepriceof$75.
Acalloptionwithanexercisepriceof$75oraputoptionwithanexercisepriceof$85willbecurrentlyin-the-money$5.
6.AU.S.bankentersintoaplainvanillacurrencyswapwithanotionalprincipalofUS$100m(£67m).Ateachsettlementdate,theU.S.bankpaysafixedrateof8percentonthepoundsreceived,andanEnglishbankpaysavariablerateequaltoLondoninterbankofferedrate(LIBOR)ontheU.S.dollarsreceived.Giventhefollowinginformation,whatpaymentismadetowhomattheendofyear2?
TheU.S.bankpays:
A.US$5.5mandtheEnglishbankpays£5.36m.
B.US$6mandtheEnglishbankpays£5.36m.
C.£5.36mandtheEnglishbankpaysUS$5.5m.
TheU.S.bankpays8%fixedon£67m,whichmakesforanannualpaymentof£5.36m.
Thevariableratetobeusedattimeperiod2issetattimeperiod1(thearrearsmethod).
Therefore,theEnglishbankpays5.5%timesUS$100mforapaymentofUS$5.5m.
7.ThemainriskfacedbyanindividualwhoentersintoaforwardcontracttobuytheS&
P500Indexisthat
A.themarketmayrise.
B.themarketmayfall.
C.marketvolatilitymayrise.
B
Ifthemarketfalls,thebuyerofaforwardcontractcouldpaymorefortheindex,asdeterminedbythepricethatwascontractedforattheinceptionofthecontract,thantheindexisworthwhenthecontractmatures.Althoughitispossiblethatariseininterestratescouldcausethemarkettofall,thismightnotalwayshappensandthusisasecondaryconsideration.
8.WhichofthefollowingstatementsmostaccuratelydescribesthedifferencebetweenLIBORandEuribor?
A.LIBORisalendingrate,whileEuriborisaborrowingrate.
B.LIBORisarepresentativeborrowingrateonU.S.dollars,whileEuriborisarepresentativeborrowingrateoneuros.
C.LIBORisaglobalrisk-freerate,whileEuriborisaEuropeanrisk-freerate.
LIBORistherateatwhichLondonbankslenddollarstootherLondonbanks;
EuriboristherateatwhichmajorEuropeanbanksborroweurosfromeachother.
9.Financialderivativesalsoprovideapowerfultoolforlimitingrisksthatindividualsandfirmsfaceintheordinaryconductoftheirbusiness.Thisisanexampleof:
A.tradingefficiency.
B.speculation.
C.riskmanagement.
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