金融工程学学习通课后章节答案期末考试题库2023年

金融工程学学习通课后章节答案期末考试题库2023年Whichofthefollowingisnotaforwardcommitment?

参考答案:

Anofferofemploymentthatmustbeacceptedorrejectedintwoweeks

Inaone-periodbinomialmodel,thevalueofanoptionisbestdescribedasthepresentvalueof:

参考答案:

aprobability-weightedaverageoftwopossibleoutcomes.

ThecostofabutterflyspreadcreatedfromEuropeanputsisdifferentwiththecostofthesamebutterflyspreadcreatedfromEuropeancallsbecauseofthetimevalueofmoney.

参考答案:

错

Atradersellsastranglebysellingacalloptionwithastrikepriceof$50for$3andsellingaputoptionwithastrikepriceof$40for$4.Forwhatrangeofpricesoftheunderlyingassetdoesthetradermakeaprofit?

参考答案:

33

Whatisthedifferencebetweenstraddleandstrangle?

参考答案:

Inastraddle,thetwooptionshavethesamestrikepriceandexpiration;whileinastrangle,theoptionshavethesameexpiration,butdifferentstrikeprices.

Whatkindoftradescanbeusedtogenerateaninvertedcalendarspread?

参考答案:

Bybuyingoptionswithshortermaturitiesandsellinglongermaturitieswiththesamestrikeprice

Abutterflyspreadcanbecreatedbythreeputoptionsonastockthathavethesameexpirationdatewithstrikepricesof$55,$60,and$65.Themarketpricesoftheseputoptionsare$3,$5,and$8,respectively.Forwhatrangeofstock

priceswouldthebutterflyspreadleadtoaloss?

参考答案:

S<56,S>64

Whichofthefollowingisthebestexampleofaderivative?

参考答案:

Acontracttopurchaseaportfolioatafixedpriceafter3months

AEurodollarfuturespricechangesfrom96.76to96.82.(

)isthegainorlosstoaninvestorwhoislongtwocontracts.

参考答案:

300

Marketconditionshaveincreasedthestoragecostsanddecreasedthe

convenienceyieldofacommodity.Otherthingsequal,whateffectswillthesechangeshaveonthevalueofaforwardcontractonthatcommodity?Theforwardcontractvalue:

参考答案:

willincrease

Whichofthefollowingportfolioshasthesamefuturecashflowsasaput

option?

参考答案:

Longcalloption,longrisk-freebond,shortunderlyingasset

ItisMay5,2014.Thequotedpriceofagovernmentbondwitha12%couponthatmaturesonJuly27,2024,is110-17.Thecashpriceofthebondis(

)

参考答案:

113.78

Alongforwardcontractonanon-dividend-payingstockwasenteredintosometimeago.Itcurrentlyhas6monthstomaturity.Therisk-freerateofinterest(withcontinuouscompounding)is10%perannum,thestockpriceis$25,andthedeliverypriceis$24.Thevalueoftheforwardcontractis$(

).

参考答案:

2.17

DuringthelifeofaEuropeanoption,theamountbywhichitspriceisgreaterthanitsexercisevalueismostaccuratelydescribedasits:

参考答案:

timevalue

Supposeitisknownthatthecheapest-to-deliverbondinaTreasurybondfuturescontractwillbea10%couponbondwithaconversionfactorof1.4.Thedeliverywilltakeplacein250days.Thelastcoupondatewas100daysago,thenextcoupondateisin81days,andthereafterisin265days.Therateofinterestis7%perannumforallmaturities(continuouslycompounded).Thecurrentquotedbondpriceis$125.Thequotedfuturespriceshouldbe(

).

参考答案:

88-25

Considera8-monthforwardcontractona12%couponbondwhenthepriceis$105,

thenextcoupondateisin1month,andthereafterisin7months.Therateofinterestis10%perannumforallmaturity(continuouscompounding)in1year.

Theforwardpriceshouldbe$(

).

参考答案:

99.83

Whichofthefollowingstatementsaboutthetwo-stepbinarytreepricingmodelistrue(

).Ⅰ.ThetotaltimeperiodisdividedintotwotimeintervalsⅡ.AttimeT,thestockpricestillrisesorfallsintheproportionofμordⅢ.Thereare2possiblepricesforthestockⅣ.Ifotherconditionsarenotchange,thereare3possiblepricesforthestockatthe2Tmoment

参考答案:

I,II,IV

Supposethatthetermstructureofrisk-freeratesisflatinboththeEurozoneandtheUK.Theeurorateis3.2%perannumandthe

GBP

rateis5.0%perannum

with

continuouscompounding.Afinancialinstitutionhasenteredintoacurrencyswapthathasaremaininglifeof8months.Itreceives5%perannumineuroandpays6%perannuminpoundeverysixmonths.Theprincipalsinthetwocurrenciesare€100millionand£90million.Thecurrentexchangerateis£1=€1.1.Thevalueoftheswapineurostothefinancialinstitutionis(

).

参考答案:

1.249

WhichofthefollowingisnotalimitationofDuration-BasedHedging?

参考答案:

Theportfolioshouldhavearatherlongmaturity.

Aninterestrateswapwithanotionalprincipalof

$100million

hasaremaininglifeof10months.Underthetermsoftheswap,six-monthLIBORisexchangedfor7%perannum(compoundedsemiannually).Theaverageofthebid–offerratebeingexchangedforsix-monthLIBORinswapsofallmaturitiesiscurrently5%perannumwithcontinuouscompounding.Thesix-monthLIBORratewas4.6%perannumtwomonthsago

withsemiannualcompounding.Thecurrentvalueoftheswaptothepartypayingfloatingis(

)

million.

参考答案:

2.11

Whichofthefollowingstatementsinvolvingaplainvanillainterestrateswapisleastaccurate?Inaplainvanillainterestrateswap,the(

)

参考答案:

partiesgenerallyagreetoswapthenotionalprincipal.

Futurestradinginvolves(

)risks.Ⅰ.Creditrisk

Ⅱ.Basisrisk

Ⅲ.Liquidityrisk

参考答案:

Ⅱ,Ⅲ

Whichofthefollowingcharacteristicsisnotassociatedwithexchange-tradedderivatives?

参考答案:

Alltermsexceptthepricearecustomizedtotheparties'individualneeds

Foraforwardcontractonanassetthathasnocostsorbenefitsfrom

holdingittohavezerovalueatinitiation,thearbitrage-freeforwardpricemustequal:

参考答案:

thefuturevalueofthecurrentspotprice

Acouponbondhasalifeof2yearsandpaysacouponof8%perannum.Halfthestatedcouponwillbepaideverysixmonths,andtheyieldis6%perannumwithsemiannualcompounding.The(Macaulay)durationandthemodifieddurationare(

)respectively.

参考答案:

1.89and1.83

Whichofthefollowingbestdescribes

theforward

rate

of

anFRA？

参考答案:

Theforwardrate

impliedbythetermstructure

Anarbitrageurwillmostlikelyexecuteatradewhen

参考答案:

transactioncostsarelow

MembersoftheCCP,similarlytomembersofanexchangeclearinghouse,havetoprovidebothinitialmarginanddailyvariationmargin.Likemembersofanexchangeclearinghouse,theyarealsorequiredtocontributetoaguarantyfund.

参考答案:

对

(

)isintendedtoreplacetheUSdollarLondonInterbankRate(USLIBOR)infuturefinancialcontracts.

参考答案:

SOFR

IfthezerocurveisdownwardslopingbetweenT1

andT2,theforwardrateforaperiodoftimeendingatT2

is:

参考答案:

smallerthantheT2

zerorate.

A