第1題ThepayoffsforfinancialderivativesarelinkedtoAsecuritiesthatwillbeissuedinthefuture.Bthevolatilityofinterestrates.Cpreviouslyissuedsecurities.Dgovernmentregulationsspecifyingallowableratesofreturn.第2題FinancialderivativesincludeAstocks.Bbonds.Cfutures.Dnoneoftheabove.第3題FinancialderivativesincludeAstocks.Bbonds.Cforwardcontracts.Dboth(a)and(b)aretrue.

第4題Whichofthefollowingisnotafinancialderivative?AStockBFuturesCOptionsDForwardcontracts.

第5題Byhedgingaportfolio,abankmanagerAreducesinterestraterisk.Bincreasesreinvestmentrisk.Cincreasesexchangeraterisk.Dincreasestheprobabilityofgains.Correct第6題Whichofthefollowingisareasontohedgeaportfolio?AToincreasetheprobabilityofgains.BTolimitexposuretorisk.CToprofitfromcapitalgainswheninterestratesfall.DAlloftheabove.

第7題AlongcontractrequiresthattheinvestorAsellsecuritiesinthefuture.Bbuysecuritiesinthefuture.Chedgeinthefuture.Dcloseouthispositioninthefuture.

第8題AshortcontractrequiresthattheinvestorAsellsecuritiesinthefuture.Bbuysecuritiesinthefuture.Chedgeinthefuture.Dcloseouthispositioninthefuture.

第9題HedgingriskforalongpositionisaccomplishedbyAtakinganotherlongposition.Btakingashortposition.Ctakingadditionallongandshortpositionsinequalamounts.Dtakinganeutralposition.

第10題HedgingriskforashortpositionisaccomplishedbyAtakingalongposition.Btakinganothershortposition.Ctakingadditionallongandshortpositionsinequalamounts.Dtakinganeutralposition.

第1題TosaythattheforwardmarketlacksliquiditymeansthatAforwardcontractsusuallyresultinlosses.Bforwardcontractscannotbeturnedintocash.Citmaybedifficulttomakethetransaction.Dforwardcontractscannotbesoldforcash.

第2題AdisadvantageofaforwardcontractisthatAitmaybedifficulttolocateacounterparty.Btheforwardmarketsuffersfromlackofliquidity.Cthesecontractshavedefaultrisk.Dalloftheabove.

第3題TheadvantageofforwardcontractsoverfuturecontractsisthattheyAarestandardized.Bhavelowerdefaultrisk.Caremoreliquid.Daremoreflexible.

第4題FuturescontractsareregularlytradedontheAChicagoMercantileExchange(CME),Group.BNewYorkStockExchange.CAmericanStockExchange.DChicagoBoardofOptionsExchange.

第5題HedginginthefuturesmarketAeliminatestheopportunityforgains.Beliminatestheopportunityforlosses.Cincreasestheearningspotentialoftheportfolio.Ddoesboth(a)and(b)oftheabove.

第6題Wheninterestratesfall,abankthatperfectlyhedgesitsportfolioofTreasurysecuritiesinthefuturesmarketAsuffersaloss.Bexperiencesagain.Chasnochangeinitsincome.Dnoneoftheabove.

第7題FuturesmarketshavegrownrapidlybecausefuturesAarestandardized.Bhavelowerdefaultrisk.Careliquid.Dalloftheabove.

第8題Partieswhohaveboughtafuturescontractandtherebyagreedto_______(takedeliveryof)thebondsaresaidtohavetakena_________position.Asell;shortBbuy;shortCsell;longDbuy;long第9題Partieswhohavesoldafuturescontractandtherebyagreedto_________()thebondsaresaidtohavetakena__________position.Asell;shortBbuy;shortCsell;longDbuy;long第10題Bysellingshortafuturescontractof$100,000atapriceof115youareagreeingtodeliverA100,000facevaluesecuritiesfor115,000.B115,000facevaluesecuritiesfor110,000.C100,000facevaluesecuritiesfor100,000.D115,000facevaluesecuritiesfor115,000.

第11題Bybuyingalong$100,000futurescontractfor115youagreetopayA100,000for115,000facevaluebonds.B115,000for100,000facevaluebonds.C86,956for100,000facevaluebonds.D86,956for115,000facevaluebonds.第12題Ontheexpirationdateofafuturescontract,thepriceofthecontractAalwaysequalsthepurchasepriceofthecontract.Balwaysequalstheaveragepriceoverthelifeofthecontract.Calwaysequalsthepriceoftheunderlyingasset.Dalwaysequalstheaverageofthepurchasepriceandthepriceofunderlyingasset.

第13題Ifyoupurchasea$100,000interest-ratefuturescontractfor110,andthepriceoftheTreasurysecuritiesontheexpirationdateis106Ayourprofitis$4000.Byourlossis$4000.Cyourprofitis$6000.Dyourlossis$6000.

第14題ThenumberoffuturescontractsoutstandingiscalledAliquidity.Bvolume.Cfloat.Dopeninterest.第15題FuturesdifferfromforwardsbecausetheyareAusedtohedgeportfolios.Busedtohedgeindividualsecurities.Cusedinbothfinancialandforeignexchangemarkets.Dastandardizedcontract.

第16題WhichofthefollowingistrueABothforwardandfuturescontractsaretradedonexchanges.

BForwardcontractsaretradedonexchanges,butfuturescontractsarenot.CFuturescontractsaretradedonexchanges,butforwardcontractsarenotDNeitherfuturescontractsnorforwardcontractsaretradedonexchanges.

第17題WhichofthefollowingisnottrueAFuturescontractsnearlyalwayslastlongerthanforwardcontracts

B

Futurescontractsarestandardized;forwardcontractsarenotCDeliveryorfinalcashsettlementusuallytakesplacewithforwardcontracts;thesameisnottrueoffuturescontracts.

DForwardcontractusuallyhaveonespecifieddeliverydate;futurescontractoftenhavearangeofdeliverydates.第18題Onthefloorofafuturesexchange,onefuturescontractistradedwhereboththelongandshortpartiesareclosingouttheirexistingpositions.Whatistheresultantchangeinopeninterest?A

Openinterestisincreasedby1B

Openinterestisincreasedby2COpeninterestisdecreasedby2DOpeninterestisdecreasedby1第19題Thepartywiththeshortpositiondetermineswhendeliverywilltakeplaceinacornfuturescontract,wherecorncanbedeliveredatanytimewithnotimedeadline.第20題Aninvestorsellsafuturescontractanassetwhenthefuturespriceis1,500.Eachcontractison100unitsoftheasset.Thecontractisclosedoutwhenthefuturespriceis1,530.WhichofthefollowingistrueATheinvestorhasmadeagainof$3,000BTheinvestorhasmadealossof$3,000CTheinvestorhasmadeagainof$2,000DTheinvestorhasmadealossof$2,000UnitTest第1題IfyousoldashortcontractonT-bondfuturesyouhopeinterestratesArise.Bfall.Carestable.Dfluctuate.第2題IfyouboughtalongcontractonT-bondfuturesyouhopethatinterestratesArise.Bfall.Carestable.Dfluctuate.

第3題Ifafirmisduetobepaidindeutschemarksintwomonths,tohedgeagainstexchangerateriskthefirmshouldAsellforeignexchangefuturesshort.Bbuyforeignexchangefutureslong.Cstayoutoftheexchangefuturesmarket.Dnoneoftheabove.

第4題Ifafirmmustpayforgoodsithasorderedwithforeigncurrency,itcanhedgeitsforeignexchangerateriskbyAsellingforeignexchangefuturesshort.Bbuyingforeignexchangefutureslong.Cstayingoutoftheexchangefuturesmarket.Dnoneoftheabove.

第5題Thebasisisdefinedasspotminusfutures.Forashorthedgerbasisstrengthensunexpectedly.Whichofthefollowingistrue?AThehedger'spositionimproves.BThehedger'spositionworsens.CThehedger'spositionsometimesworsensandsometimesimproves.DThehedger'spositionstaysthesame.第6題Futurescontractstradewitheverymonthasadeliverymonth.AcompanyishedgingthepurchaseoftheunderlyingassetonJune15.Whichfuturescontractshouldituse?ATheJunecontract

BTheJulycontractCTheMaycontract

DTheAugustcontract第7題Whichofthefollowingistrue

ATheoptimalhedgeratioistheslopeofthebestfitlinewhenthespotprice(onthey-axis)isregressedagainstthefuturesprice(onthex-axis).

BTheoptimalhedgeratioistheslopeofthebestfitlinewhenthefuturesprice(onthey-axis)isregressedagainstthespotprice(onthex-axis).

CTheoptimalhedgeratioistheslopeofthebestfitlinewhenthechangeinthespotprice(onthey-axis)isregressedagainstthechangeinthefuturesprice(onthex-axis).

DTheoptimalhedgeratioistheslopeofthebestfitlinewhenthechangeinthefuturesprice(onthey-axis)isregressedagainstthechangeinthespotprice(onthex-axis).第8題OnMarch1thepriceofgoldis1,000dollarsandtheDecemberfuturespriceis1,015dollars.OnNovember1thepriceofgoldis980dollarsandtheDecemberfuturespriceis981dollars.AgoldproducerenteredintoaDecemberfuturescontractsonMarch1tohedgethesaleofgoldonNovember1.ItclosedoutitspositiononNovember1.Aftertakingaccountofthecostofhedging,whatistheeffectivepricereceivedbythecompanyforthegold?A$1,000B$1,015C$1,014D$985Correct第9題SupposethatthestandarddeviationofmonthlychangesinthepriceofcommodityAis2dollars.ThestandarddeviationofmonthlychangesinafuturespriceforacontractoncommodityB(whichissimilartocommodityA)is3dollars.Thecorrelationbetweenthefuturespriceandthecommoditypriceis0.9.WhathedgeratioshouldbeusedwhenhedgingaonemonthexposuretothepriceofcommodityA?A0.5B0.6C0.7D0.8第10題Acompanyhasa36milliondollarsportfoliowithabetaof1.2.ThefuturespriceforacontractontheS&Pindexis900.Futurescontractson250timestheindexcanbetraded.Whattradeisnecessarytoeliminateallsystematicriskintheportfolio?Along190contractsBshort190contractsClong192contractsDshort192contracts第11題OnMarch1thepriceofoilis60dollarsandtheJulyfuturespriceis59dollars.OnJune1thepriceofoilis64dollarsandtheJulyfuturespriceis63.50dollars.AcompanyenteredintoafuturescontractsonMarch1tohedgethepurchaseofoilonJune1.ItclosedoutitspositiononJune1.Aftertakingaccountofthecostofhedging,whatistheeffectivepricepaidbythecompanyfortheoil?A$60B$59.50C$63.50D$64第12題Acompanyhasa36milliondollarsportfoliowithabetaof1.2.ThefuturespriceforacontractontheS&Pindexis900.Futurescontractson250timestheindexcanbetraded.Whattradeisnecessarytoreducethebetato0.9?Along50contractsBshort50contractsClong48contractsDshort48contracts第13題Acompanyhasa36milliondollarsportfoliowithabetaof1.2.ThefuturespriceforacontractontheS&Pindexis900.Futurescontractson250timestheindexcanbetraded.Whattradeisnecessarytoincreasebetato1.8?Along100contractsBshort100contractsClong96contractsDshort96contractsUnitTest第1題Aninterestrateis15%perannumwhenexpressedwithannualcompounding.Whatistheequivalentratewithcontinuouscompounding?A14.00%B13.50%C13.98%D13.68%

第2題Aninterestrateis8%perannumwhenexpressedwithcontinuouscompounding.Whatistheequivalentratewithsemiannualcompounding?A8.00%B8.50%C8.16%D7.98%

第3題Aninterestrateis12%whenexpressedwithquarterlycompounding.Whatistheequivalentratewithsemiannualcompounding?A12.00%B12.18%C12.50%D12.98%

第4題Thethree-yearzerorateis7%andthefour-yearzerorateis7.5%(bothcontinuouslycompounded.Whatistheforwardrateforthefourthyearwithcontinuouscompounding?A9.00%B8.00%C8.50%D8.98%

第5題Thesix-monthzerorateis8%withsemiannualcompounding.Thepriceofaone-yearbondthatprovidesacouponof6%perannumsemiannuallyis97.Whatistheone-yearcontinuouslycompoundedzerorate?A9.50%B9.02%C8.50%D9.98%第6題Theyieldcurveisflatat6%perannumwithsemiannualcompounding.What(tothenearestcent)isthevalueofanFRAwheretheholderreceivesinterestattherateof8%perannumforasix-monthperiodonaprincipalof$1,000startingintwoyears?A$8.50B$8.63C$8.00D$9.00

第7題Underliquiditypreferencetheory,whichofthefollowingisalwaystrue?ATheforwardrateishigherthanthespotratewhenbothhavethesamematurity.BForwardratesareunbiasedpredictorsofexpectedfuturespotrates.CThespotrateforacertainmaturityishigherthantheparyieldforthatmaturity.DForwardratesarehigherthanexpectedfuturespotrates.

第8題Theshorttermrisk-freerateusuallyusedbyderivativestradersintheover-the-countermarketisATheTreasuryrateBTheLIBORrateCThereporateDThecommercialpaperrate

第9題Supposethat6-month,12-month,18-month,24-monthand30-monthzeroratesare4%,4.2%,4.4%,4.6%and4.8%perannumwithcontinuouscompoudingrespectively.Whatisthecashpriceofabondwithafacevalueof100thatwillmaturein30monthsandpaysacouponof4%perannumsemianmually.

A97.04B98.04C99.56D100.40第10題Supposethatzerointerestrateswithcontinuouscompoundingareasfollows,whatistheforwardrateforthesecondyear?A2.0%B3.0%C4.0%D5.0%第11題ThecompoundingfrequencyforaninterestratedefinesAThefrequencywithwhichinterestispaidBAunitofmeasurementfortheinterestrateCTherelationshipbetweentheannualinterestrateandthemonthlyinterestrateDNoneoftheabove第12題Thetwo-yearzerorateis6%andthethreeyearzerorateis6.5%.Whatistheforwardrateforthethirdyear?Allratesarecontinuouslycompounded.A6.25%B7.0%C7.25%D7.5%第13題WhichofthefollowingistrueofthefedfundsrateAItisthesameastheTreasuryrateBItisatypeofreporateCItisarateforwhichcollateralispostedDItisanovernightinterbankrate第14題Themodifieddurationofabondportfolioworth$1millionis6years.Byapproximatelyhowmuchdoesthevalueoftheportfoliochangeifallyieldsincreaseby5basispoints?AIncreaseof

$3,000BDecreaseof$3,000CIncreaseof

$30,000DDecreaseof$30,000第15題Acompanyinvests$1,000inafive-yearzero-couponbond.

Whatisthedurationofthisinvestment?A3yearsB4yearsC5yearsD6years第16題WhichofthefollowingistrueofLIBORATheLIBORrateisfreeofcreditriskBItisarateusedwhenborrowingandlendingtakesplacebetweenbanksCALIBORrateislowerthantheTreasuryratewhenthetwohavethesamematurityDItissubjecttofavorabletaxtreatmentintheU.S.第17題Whichoffollowingdescribesforwardrates?AAsinglediscountratethatgivesthevalueofabondequaltoitsmarketpricewhenappliedtoallcashflowsBThecouponratethatcausesabondpricetoequalitspar(orprincipal)valueCInterestrateearnedonaninvestmentthatstartstodayandlastforn-yearsinthefuturewithoutcouponsDInterestratesimpliedbycurrentzeroratesforfutureperiodsoftime第18題Liquiditypreferencetheory

isnotatheoryofthetermstructure.

第19題Arepotransactionisonewhereacompanyagreestosellsecuritiestodayandbuythembackatafuturetime.Itisaformofcollateralizedborrowing.Thecreditriskislow.第20題Longermaturitybondsarealwaysworthmorethatshortermaturitybondswhenthecouponratesarethesame.UnitTest第1題Aninvestorshorts100shareswhenthesharepriceis50dollarsandclosesoutthepositionsixmonthslaterwhenthesharepriceis43dollars.Thesharespayadividendof3dollarspershareduringthesixmonths.Howmuchdoestheinvestorgain?A$400B$500C$430D$450第2題Thespotpriceofaninvestmentassetthatprovidesnoincomeis$30andtherisk-freerateforallmaturities(withcontinuouscompounding)is10%.What,tothenearestcent,isthethree-yearforwardprice?A$40.49B$50.00C$40.00D$47.50

第3題Repeatquestion2ontheassumptionthattheassetprovidesanincomeof$2attheendofthefirstyearandattheendofthesecondyear.A$39.32B$42.80C$35.84D$39.54

第4題Anexchangerateis0.7000,namelyonedomesticcurrencyisequalto0.7000foreigncurrencies,andthesix-monthdomesticandforeignrisk-freeinterestratesare5%and7%(bothexpressedwithcontinuouscompounding).Whatisthesix-monthforwardrate?A0.5933B0.6554C0.7070D0.6778

第5題Ashortforwardcontractthatwasnegotiatedsometimeagowillexpireinthreemonthsandhasadeliverypriceof40dollars.Thecurrentforwardpriceforthree-monthforwardcontractis$42.Thethreemonthrisk-freeinterestrate(withcontinuouscompounding)is8%.Whattothenearestcentisthevalueoftheshortforwardcontract?A$1.33B-$1.96C-$0.84D$1.78

第6題Whichofthefollowingisaconsumptionasset(circleone)ATheS&P500indexBTheCanadiandollarCCopperDIBMshares第7題Whichofthefollowingistrue(circleone)ATheconvenienceyieldisalwayspositiveorzero.BTheconvenienceyieldisalwayspositiveforaninvestmentasset.CTheconvenienceyieldisalwaysnegativeforaconsumptionasset.DTheconvenienceyieldmeasurestheinvestmentreturnearnedbyholdinginvestmentassets第8題Thespotpriceofaninvestmentassetthatprovidesnoincomeis$30andtherisk-freerateforallmaturities(withcontinuouscompounding)is8%.Whatisthethree-yearforwardprice?A38.13B40.64C42.56D44.65第9題WhichofthefollowingisNOTareasonwhyashortpositioninastockisclosedout?AThebrokerisnolongerabletoborrowsharesfromotherclientsBTheinvestorwiththeshortpositionchoosestocloseoutthepositionCThelenderofthesharesissuesinstructionstocloseoutthepositionDTheinvestordoesnotmaintainmarginsrequiredonhis/hermarginaccount第10題Astheconvenienceyielddecreases,whichofthefollowingistrue?ATheone-yearfuturespriceasapercentageofthespotpriceincreasesBTheone-yearfuturespriceasapercentageofthespotpricedecreasesCTheone-yearfuturespriceasapercentageofthespotpricestaysthesameDAnyoftheabovecanhappen第11題Whatshouldatraderdowhentheone-yearforwardpriceofanassetistoohigh?Assumethattheassetprovidesnoincome.AThetradershouldborrowthepriceoftheasset,buyoneunitoftheassetandenterintoashortforwardcontracttoselltheassetinoneyear.BThetradershouldborrowthepriceoftheasset,buyoneunitoftheassetandenterintoalongforwardcontracttobuytheassetinoneyear.CThetradershouldshorttheasset,investtheproceedsoftheshortsaleattherisk-freerate,enterintoashortforwardcontracttoselltheassetinoneyear

DThetradershouldshorttheasset,investtheproceedsoftheshortsaleattherisk-freerate,enterintoalongforwardcontracttobuytheassetinoneyear

第12題Goldandsilverareinvestmentassets第13題Investmentassetsareheldbysignificantnumbersofinvestorsforinvestmentpurposes.第14題Investmentassetsareneverheldforconsumption第15題Thecarrycostisthestortagecostplustheinterestcostminustheincomeearnedontheasset第16題Considera1-yearfuturecontractsonaninvestmentassetthatprovidesnoincome.Itcosts2perunittostoretheassetwiththepaymentbeingmadeattheendoftheyear.Thespotpriceis450andtherisk-freerateis7%withcontinuouslycompounded.Theforwardpricein1-yearis

A484.63B498.90C499.87D534.47第17題Whatisthecostofcarryforanon-dividend-payingstock?Ar-qBrCr+cDc-q第18題Whatisthecostofcarryforastockindex?ArBr+cCr-qDr+q第19題Whatisthecarrycostofforeigncurrency?ArBr-qCr-rfDr+c第20題Whatisthecarrycostofcommodityprovidesincomeatrateqandrequiresstoragecostsatrateu?Ar-qBr+qCr+u-qDrUnitTest第1題WhichoffollowingisapplicabletocorporatebondsintheUnitedStates?AActual/360BActual/ActualC30/360DActual/365第2題ItisMay1.ThequotedpriceofabondwithanActual/365daycountand12%perannumcouponintheUnitedStatesis105.Ithasafacevalueof100andpayscouponsonApril1andOctober1.Whatisthecashprice?A105.00B105.98C105.62D105.10第3題Whatdifferencewoulditmaketoyouranswertoquestion2ifthebond’sdaycountwere30/360?A106.00B106.98C106.62D106.10第4題Thequotedfuturespriceis103.5.Whichofthefollowingfourbondsischeapesttodeliver?AQuotedprice=110;conversionfactor=1.0400.BQuotedprice=160;conversionfactor=1.5200.CQuotedprice=131;conversionfactor=1.2500.DQuotedprice=143;conversionfactor=1.3500.Correctanswer:第5題WhichofthefollowingisnotanoptionopentothepartywithashortpositionintheTreasurybondfuturescontract?ATheabilitytodeliveranyofanumberofdifferentbondsBThewildcardplayCThefactthatdeliverycanbemadeanytimeduringthedeliverymonthDTheinterestrateusedinthecalculationoftheconversionfactor第6題AtraderentersintoalongpositioninoneEurodollarfuturescontract.Howmuchdoesthetradergainwhenthefuturespricequoteincreasesby6basispoints?A$100B$150C$140D$130

第7題Acompanyinvests1,000inafive?yearzero?couponbondand4,000inaten-yearzero-couponbond.Whatisthedurationoftheportfolio?A4yearsB6yearsC8yearsD9years第8題Themodifieddurationofabondportfolioworth$1millionis5years.Byapproximatelyhowmuchdoesthevalueoftheportfoliochangeifallyieldsincreaseby5basispoints?A$1500B$2000C$2500D$3000第9題Themodifieddurationofabondportfolioworth$1millionis5years.Indicatewhetherthedollaramountyoucalculatedaboveisanincreaseoradecreaseifallyieldsincreaseby5basispoints?AincreaseBdecreaseCneitherofthem第10題Aportfolioisworth24,000,000dollars.ThefuturespriceforaTreasurynotefuturescontractis110andeachcontractisforthedeliveryofbondswithafacevalueof100,000.Onthedeliverydatethedurationofthebondthatisexpectedtobecheapesttodeliveris6yearsandthedurationoftheportfoliowillbe5.5years.Howmanycontractsarenecessaryforhedgingtheportfolio?A200B250C300D350第11題Whichofthefollowingistrue?AThefuturesratescalculatedfromaEurodollarfuturesquoteisalwayslessthanthecorrespondingforwardrate.BThefuturesratescalculatedfromaEurodollarfuturesquoteisalwaysgreaterthanthecorrespondingforwardrate.CThefuturesratescalculatedfromaEurodollarfuturesquoteshouldequalthecorrespondingforwardrate.DThefuturesratescalculatedfromaEurodollarfuturesquoteissometimesgreaterthanandsometimeslessthanthecorrespondingforwardrate.

第12題ThefrequencywithwhichfuturesmarginaccountsareadjustedforgainsandlossesisADailyBWeeklyCMonthlyDQuarterly

第13題MarginaccountshavetheeffectofAReducingtheriskofonepartyregrettingthedealandbackingoutBEnsuringfundsareavailabletopaytraderswhentheymakeaprofitCReducingsystemicriskduetocollapseoffuturesmarketsDAlloftheabove

第14題WhichentityintheUnitedStatestakesprimaryresponsibilityforregulatingfuturesmarket?AFederalReserveBoardBUSTreasuryCSecurityandExchangeCommission(SEC)DCommoditiesFuturesTradingCommission(CFTC)第15題ForaEurodollarfuturescontracttradinginApril2012,theopeninterestforaJune2012contract,whencomparedtotheopeninterestforOcto2012contracts,isusuallyAHigherBLowerCThesameDEquallylikelytobehigherorlower第16題Clearinghousesare

alwaysusedinbothfuturesmarketsandOTCmarkets.第17題Centralclearingparties

performasimilarfunctiontoexchangeclearinghouses.第18題WhichofthefollowingarecashsettledAAllfuturescontractsBAlloptioncontractsCAllT-bondfuturescontractsDFuturesonstockindices第19題Eurodollarfuturesaretrades

AontheexchangeBoverthecounterCBothoftheabove

DNeitheroftheboth第20題WhichofthefollowingistrueaboutalongT-bondfuturescontractAThecontractbecomesmorevaluableasthepriceoftheT-bonddeclinesBThecontractbecomesmorevaluableasthepriceoftheT-bondrisesCThecontractisworthzeroifthepriceoftheT-bonddeclinesafterthecontracthasbeenenteredintoDThecontractisworthzeroifthepriceoftheT-bondrisesafterthecontracthasbeenenteredintoUnitTest第1題Supposethattheyieldcurveisflatat5%perannumwithcontinuouscompounding.Aswapwithanotionalprincipalof$100millioninwhich6%isreceivedandsix-monthLIBORispaidwilllastanother15months.Paymentsareexchangedeverysixmonths.Thesix-monthLIBORrateatthelastresetdate(threemonthsago)was7%.Whatisthevalueofthefixed-ratebondunderlyingtheswap?

A102.00B102.61C103.62D102.10第2題Continuewithquestion1,whatisthevalueofthefloating-ratebondunderlyingtheswap?

A102.21B102.51C103.00D103.10第3題Continuewithquestion1,whatisthevalueofthepaymentthatwillbeexchangedin3months?

A0.60B0.50C-0.50D-0.49第4題Continuewithquestion1,whatisthevalueofthepaymentthatwillbeexchangedin9months?

A0.60B0.50C-0.45D0.45第5題Continuewithquestion1,whatisthevalueofthepaymentthatwillbeexchangedin15months?

A0.60B0.50C0.45D0.44第6題Continuewithquestion1,whatisthevalueoftheswap?

A0.50B0.40C0.49D0.44第7題AcompanycaninvestfundsforfiveyearsatLIBORminus30basispoints.Thefive-yearswaprateis3%.Whatfixedrateofinterestcanthecompanyearn?(Ignoredaycountissues)

A3.0%B2.5%C2.7%D2.6%第8題Whichofthefollowingistrue?

APrincipalsarenotusuallyexchangedinacurrencyswap.BTheprincipalamountsusuallyflowintheoppositedirectiontointerestpaymentsatthebeginningofacurrencyswapandinthesamedirectionasinterestpaymentsattheendoftheswap.CTheprincipalamountsusuallyflowinthesamedirectionasinterestpaymentsatthebeginningofacurrencyswapandintheoppositedirectiontointerestpaymentsattheendoftheswap.DPrincipalsarenotusuallyspecifiedinacurrencyswap.第9題Supposeyouenterintoaninterestrateswapwhereyouarereceivingfloatingandpayingfixed.Whichofthefollowingistrue?

.AYourcreditriskisgreaterwhenthetermstructureisupwardslopingthanwhenitisdownwardsloping.BYourcreditriskisgreaterwhenthetermstructureisdownwardslopingthanwhenitisupwardsloping.CNoneoftheabove.第10題Supposeyouenterintoaninterestrateswapwhereyouarereceivingfloatingandpayingfixed.Whichofthefollowingistrue?

AYourcreditriskexposureincreaseswheninterestratesdeclineunexpectedly.BYourcreditriskexposureincreaseswheninterestratesincreaseunexpectedly.CNoneoftheabove.第11題AcompanycaninvestfundsforfiveyearsatLIBORminus30basispoints.Thefive-yearswaprateis3%.WhatfixedrateofinterestcanthecompanyearnbyusingtheswaptopaytheLIBORandreceivefixedrate?

A2.4%B2.7%C3.0%D3.3%第12題CompanyXandCompanyYhavebeenofferedthefollowingrates

SupposethatCompanyXborrowsfixedandcompanyYborrowsfloating.Iftheyenterintoaswapwitheachotherwheretheapparentbenefitsaresharedequally,whatiscompanyX’seffectiveborrowingrate?

AA3-monthLIBOR?30bpB3.2%C3-monthLIBOR?10bpD3.3%第13題Whichofthefollowingisauseofacurrencyswap?

AToexchangeaninvestmentinonecurrencyforaninvestmentinanothercurrencyBToexchangeborrowinginonecurrencyforborrowingsinanothercurrencyCTotakeadvantagesituationswherethetaxratesintwocountriesaredifferentDAlloftheabove第14題Whichof