国际金融IFinanceTestBank5.docx

国际金融IFinanceTestBank5.docx

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国际金融IFinanceTestBank5

Chapter5—CurrencyDerivatives

1.Kalons,Inc.isaU.S.-basedMNCthatfrequentlyimportsrawmaterialsfromCanada.KalonsistypicallyinvoicedforthesegoodsinCanadiandollarsandisconcernedthattheCanadiandollarwillappreciateinthenearfuture.Whichofthefollowingisnotanappropriatehedgingtechniqueunderthesecircumstances?

a.

purchaseCanadiandollarsforward.

b.

purchaseCanadiandollarfuturescontracts.

c.

purchaseCanadiandollarputoptions.

d.

purchaseCanadiandollarcalloptions.

ANS:

CPTS:

1

2.Graylon,Inc.,basedinWashington,exportsproductstoaGermanfirmandwillreceivepaymentof€200,000inthreemonths.OnJune1,thespotrateoftheeurowas$1.12,andthe3-monthforwardratewas$1.10.OnJune1,Graylonnegotiatedaforwardcontractwithabanktosell€200,000forwardinthreemonths.ThespotrateoftheeuroonSeptember1is$1.15.Graylonwillreceive$____fortheeuros.

a.

224,000

b.

220,000

c.

200,000

d.

230,000

ANS:

B

SOLUTION:

€200,000⋅$1.10=$220,000

PTS:

1

3.Theone-yearforwardrateoftheBritishpoundisquotedat$1.60,andthespotrateoftheBritishpoundisquotedat$1.63.Theforward____is____percent.

a.

discount;1.9

b.

discount;1.8

c.

premium;1.9

d.

premium;1.8

ANS:

B

SOLUTION:

（F/S）−1=（$1.60/$1.63）−1=−1.8percent.

PTS:

1

4.The90-dayforwardratefortheeurois$1.07,whilethecurrentspotrateoftheeurois$1.05.Whatistheannualizedforwardpremiumordiscountoftheeuro?

a.

1.9percentdiscount.

b.

1.9percentpremium.

c.

7.6percentpremium.

d.

7.6percentdiscount.

ANS:

C

SOLUTION:

[（F/S）−1]⋅360/90=7.6percent.

PTS:

1

5.Thornton,Inc.needstoinvestfivemillionNepaleserupeesinitsNepalesesubsidiarytosupportlocaloperations.Thorntonwouldlikeitssubsidiarytorepaytherupeesinoneyear.Thorntonwouldliketoengageinaswaptransaction.Thus,Thorntonwould:

a.

converttherupeestodollarsinthespotmarkettodayandconvertrupeestodollarsinoneyearattoday'sforwardrate.

b.

convertthedollarstorupeesinthespotmarkettodayandconvertdollarstorupeesinoneyearattheprevailingspotrate.

c.

convertthedollarstorupeesinthespotmarkettodayandconvertrupeestodollarsinoneyearattoday'sforwardrate.

d.

convertthedollarstorupeesinthespotmarkettodayandconvertrupeestodollarsinoneyearattheprevailingspotrate.

ANS:

CPTS:

1

6.IntheU.S.,thetypicalcurrencyfuturescontractisbasedonacurrencyvalueintermsof:

a.

euros.

b.

U.S.dollars.

c.

Britishpounds.

d.

Canadiandollars.

ANS:

BPTS:

1

7.Currencyfuturescontractssoldonanexchange:

a.

containacommitmenttotheowner,andarestandardized.

b.

containacommitmenttotheowner,andcanbetailoredtothedesireoftheowner.

c.

containarightbutnotacommitmenttotheowner,andcanbetailoredtothedesireoftheowner.

d.

containarightbutnotacommitmenttotheowner,andarestandardized.

ANS:

APTS:

1

8.Currencyoptionssoldthroughanoptionsexchange:

a.

containacommitmenttotheowner,andarestandardized.

b.

containacommitmenttotheowner,andcanbetailoredtothedesireoftheowner.

c.

containarightbutnotacommitmenttotheowner,andcanbetailoredtothedesireoftheowner.

d.

containarightbutnotacommitmenttotheowner,andarestandardized.

ANS:

DPTS:

1

9.Currencyoptionsarecommonlytradedthroughthe____system.

a.

robot

b.

Euro

c.

GLOBEX

d.

Scope

ANS:

CPTS:

1

10.Forwardcontracts:

a.

containacommitmenttotheowner,andarestandardized.

b.

containacommitmenttotheowner,andcanbetailoredtothedesireoftheowner.

c.

containarightbutnotacommitmenttotheowner,andcanbetailoredtothedesireoftheowner.

d.

containarightbutnotacommitmenttotheowner,andarestandardized.

ANS:

BPTS:

1

11.WhichofthefollowingisthemostlikelystrategyforaU.S.firmthatwillbereceivingSwissfrancsinthefutureanddesirestoavoidexchangeraterisk（assumethefirmhasnooffsettingpositioninfrancs）?

a.

purchaseacalloptiononfrancs.

b.

sellafuturescontractonfrancs.

c.

obtainaforwardcontracttopurchasefrancsforward.

d.

alloftheaboveareappropriatestrategiesforthescenariodescribed.

ANS:

BPTS:

1

12.WhichofthefollowingisthemostunlikelystrategyforaU.S.firmthatwillbepurchasingSwissfrancsinthefutureanddesirestoavoidexchangeraterisk（assumethefirmhasnooffsettingpositioninfrancs）?

a.

purchaseacalloptiononfrancs.

b.

obtainaforwardcontracttopurchasefrancsforward.

c.

sellafuturescontractonfrancs.

d.

alloftheaboveareappropriatestrategiesforthescenariodescribed.

ANS:

CPTS:

1

13.Ifyourfirmexpectstheeurotosubstantiallydepreciate,itcouldspeculateby____eurocalloptionsor____eurosforwardintheforwardexchangemarket.

a.

selling;selling

b.

selling;purchasing

c.

purchasing;purchasing

d.

purchasing;selling

ANS:

APTS:

1

14.Whenyouown____,thereisnoobligationonyourpart;however,whenyouown____,thereisanobligationonyourpart.

a.

calloptions;putoptions

b.

futurescontracts;calloptions

c.

forwardcontracts;futurescontracts

d.

putoptions;forwardcontracts

ANS:

DPTS:

1

15.Thegreaterthevariabilityofacurrency,the____willbethepremiumofacalloptiononthiscurrency,andthe____willbethepremiumofaputoptiononthiscurrency,otherthingsequal.

a.

greater;lower

b.

greater;greater

c.

lower;greater

d.

lower;lower

ANS:

BPTS:

1

16.Whencurrencyoptionsarenotstandardizedandtradedover-the-counter,thereis____liquidityanda____bid/askspread.

a.

less;narrower

b.

more;narrower

c.

more;wider

d.

less;wider

ANS:

DPTS:

1

17.Theshorterthetimetotheexpirationdateforacurrency,the____willbethepremiumofacalloption,andthe____willbethepremiumofaputoption,otherthingsequal.

a.

greater;greater

b.

greater;lower

c.

lower;lower

d.

lower;greater

ANS:

CPTS:

1

18.AssumethataspeculatorpurchasesaputoptiononBritishpounds（withastrikepriceof$1.50）for$.05perunit.Apoundoptionrepresents31,250units.Assumethatatthetimeofthepurchase,thespotrateofthepoundis$1.51andcontinuallyrisesto$1.62bytheexpirationdate.Thehighestnetprofitpossibleforthespeculatorbasedontheinformationaboveis:

a.

$1,562.50.

b.

−$1,562.50.

c.

−$1,250.00.

d.

−$625.00.

ANS:

B

SOLUTION:

Thepremiumoftheoptionis$.05⋅（31,250units）=$1,562.50.Sincetheoptionwillnotbeexercised,thenetprofitis−$1,562.50.

PTS:

1

19.Whichofthefollowingistrue?

a.

Thefuturesmarketisprimarilyusedbyspeculatorswhiletheforwardmarketisprimarilyusedforhedging.

b.

Thefuturesmarketisprimarilyusedforhedgingwhiletheforwardmarketisprimarilyusedforspeculating.

c.

Thefuturesmarketandtheforwardmarketareprimarilyusedforspeculating.

d.

Thefuturesmarketandtheforwardmarketareprimarilyusedforhedging.

ANS:

APTS:

1

20.Whichofthefollowingistrue?

a.

Mostforwardcontractsbetweenfirmsandbanksareforspeculativepurposes.

b.

Mostfuturecontractsrepresentaconservativeapproachbyfirmstohedgeforeigntrade.

c.

Theforwardcontractsofferedbybankshavematuritiesforonlyfourpossibledatesinthefuture.

d.

noneoftheabove

ANS:

DPTS:

1

21.Ifyouexpecttheeurotodepreciate,itwouldbeappropriateto____forspeculativepurposes.

a.

buyaeurocallandbuyaeuroput

b.

buyaeurocallandsellaeuroput

c.

sellaeurocallandsellaeuroput

d.

sellaeurocallandbuyaeuroput

ANS:

DPTS:

1

22.IfyouexpecttheBritishpoundtoappreciate,youcouldspeculateby____poundcalloptionsor____poundputoptions.

a.

purchasing;selling

b.

purchasing;purchasing

c.

selling;selling

d.

selling;purchasing

ANS:

APTS:

1

23.Whichofthefollowingiscorrect?

a.

Thelongerthetimetomaturity,thelessthevalueofacurrencycalloption,otherthingsequal.

b.

Thelongerthetimetomaturity,thelessthevalueofacurrencyputoption,otherthingsequal.

c.

Thehigherthespotraterelativetotheexerciseprice,thegreaterthevalueofacurrencyputoption,otherthingsequal.

d.

Thelowertheexercisepricerelativetothespotrate,thegreaterthevalueofacurrencycalloption,otherthingsequal.

ANS:

DPTS:

1

24.Researchhasfoundthattheoptionsmarketis:

a.

efficientbeforecontrollingfortransactioncosts.

b.

efficientaftercontrollingfortransactioncosts.

c.

highlyinefficient.

d.

noneoftheabove

ANS:

BPTS:

1

25.Assumenotransactionscostsexistforanyfuturesorforwardcontracts.ThepriceofBritishpoundfutureswithasettlementdate180daysfromnowwill:

a.

definitelybeabovethe180-dayforwardrate.

b.

definitelybebelowthe180-dayforwardrate.

c.

beaboutthesameasthe180-dayforwardrate.

d.

noneoftheabove;thereisnorelationbetweenthefuturesandforwardprices.

ANS:

CPTS:

1

26.Assumethatacurrency'sspotandfuturepricesarethesame,andthecurrency'sinterestrateishigherthantheU.S.rate.TheactionsofU.S.investorstolockinthishigherforeignreturnwould____thecurrency'sspotrateand____thecurrency'sfuturesprice.

a.

putupwardpressureon;putupwardpressureon

b.

putdownwardpressureon;putupwardpressureon

c.

putupwardpressureon;putdownwardpressureon

d.