金融衍生工具英文版第六章题库

金融衍生工具英文版第六章题库金融衍生工具英文版第六章题库5/5金融衍生工具英文版第六章题库FundamentalsofFuturesandOptionsMarkets,8eChapter6InterestRateFutures

(Hull)1)Whichofthefollowing

is

applicable

tocorporate

bondsin

theUnitedStates?A)Actual/360B)Actual/ActualC)30/360D)Actual/365Answer:C2)ItisMay1.ThequotedpriceofabondwithanActual/Actual(inperiod)daycountand12%perannumcouponintheUnitedStatesis105.Ithasafacevalueof100andpayscouponsonApril1andOctober1.Whatisthecashprice?A)B)C)D)Answer:CItisMay1.Thequotedpriceofabondwitha30/360daycountand12%perannumcouponintheUnitedStatesis105.Ithasafacevalueof100andpayscouponsonApril1andOctober1.Whatisthecashprice?A)B)C)D)Answer:AThemostrecentsettlementbondfuturespriceis.Whichofthefollowingfourbondsischeapesttodeliver?A)Quotedbondprice=110;conversionfactor=B)Quotedbondprice=160;conversionfactor=C)Quotedbondprice=131;conversionfactor=D)Quotedbondprice=143;conversionfactor=Answer:CWhichofthefollowingisNOTanoptionopentothepartywithashortpositionintheTreasurybondfuturescontract?A)TheabilitytodeliveranyofanumberofdifferentbondsB)ThewildcardplayC)ThefactthatdeliverycanbemadeanytimeduringthedeliverymonthTheinterestrateusedinthecalculationoftheconversionfactorAnswer:DAtraderentersintoalongpositioninoneEurodollarfuturescontract.Howmuchdoesthetradergainwhenthefuturespricequoteincreasesby6basispoints?A)$6B)$150C)$60D)$600Answer:B7)Acompanyinvests$1,000inafive-yearzero-couponbondand$4,000inaten-yearzero-couponbond.Whatisthedurationoftheportfolio?6years7years8years9yearsAnswer:D8)Themodifieddurationofabondportfolioworth$1millionis5years.Byapproximatelyhowmuchdoesthevalueoftheportfoliochangeifallyieldsincreaseby5basispoints?Increaseof$2,500Decreaseof$2,500Increaseof$25,000Decreaseof$25,000Answer:BAportfolioisworth$24,000,000.ThefuturespriceforaTreasurynotefuturescontractis110andeachcontractisforthedeliveryofbondswithafacevalueof$100,000.Onthedeliverydatethedurationofthebondthatisexpectedtobecheapesttodeliveris6yearsandthedurationoftheportfoliowillbeyears.Howmanycontractsarenecessaryforhedgingtheportfolio?100200300400Answer:B10)Whichofthefollowingistrue?ThefuturesratescalculatedfromaEurodollarfuturesquotearealwayslessthanthecorrespondingforwardrateThefuturesratescalculatedfromaEurodollarfuturesquotearealwaysgreaterthanthecorrespondingforwardrateC)ThefuturesratescalculatedfromaEurodollarfuturesquoteshouldequalthecorrespondingforwardrateThefuturesratescalculatedfromaEurodollarfuturesquotearesometimesgreaterthanandsometimeslessthanthecorrespondingforwardrateAnswer:BHowmuchisabasispoint?A)%B)%C)%D)%Answer:CWhichofthefollowingdaycountconventionsappliestoaUSTreasurybond?A)Actual/360B)Actual/Actual(inperiod)C)30/360D)Actual/365Answer:BWhatisthequoteddiscountrateonamoneymarketinstrument?TheinterestrateearnedasapercentageofthefinalfacevalueofabondTheinterestrateearnedasapercentageoftheinitialpriceofabondTheinterestrateearnedasapercentageoftheaveragepriceofabondTherisk-freerateusedtocalculatethepresentvalueoffuturecashflowsfromabondAnswer:A14)Whichofthefollowingisclosesttothedurationthatpaysacouponof8%perannumsemiannually?Theis10%perannumwithcontinuouscompounding.A)B)C)D)Answer:C

ofa2-yearyieldonthe

bondbondWhichofthefollowingisNOTtrueaboutduration?A)Itequalstheyears-to-maturityforazerocouponbondB)Itequalstheweightedaverageofpaymenttimesforabond,whereweightsareproportionaltothepresentvalueofpaymentsC)Equalstheweightedaverageofindividualbonddurationsforaportfolio,whereweightsareproportionaltothepresentvalueprices

of

bondThepricesoftwobondswiththesamedurationchangebythesamepercentageamountwheninterestratemoveupby100basispointsAnswer:D16)TheconversionfactorforabondisapproximatelyThepriceitwouldhaveifallcashflowswerediscountedat6%perannumThepriceitwouldhaveifitpaidcouponsat6%perannumThepriceitwouldhaveifallcashflowswerediscountedat8%perannumThepriceitwouldhaveifitpaidcouponsat8%perannumAnswer:A17)Thetime-to-maturityofaEurodollarsfuturescontractisandthetime-to-maturityoftherateunderlyingthefuturescontractisyears.Thestandarddeviationofthechangeintheshortterminterestrate,σ=.Whatisthedifferencebetweenthefuturesand

4years,theforwardinterestrate?%%%%Answer:BAtraderuses3-monthEurodollarfuturestolockinarateon$5millionforsixmonths.Howmanycontractsarerequired?A)5B)10C)15D)20Answer:B19)Inthe.whatisthelongestmaturityfor3-monthEurodollarfuturesco